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Alex Sandro Monteiro De Moraes,Antonio Carlos Figueiredo Pinto,Marcelo Cabus Klotzle
Pág. 394?437
This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock indic...
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