Do long-memory GARCH-type-VaR models outperform none- and semi-parametric VaR models?


Büberkökü Ö.

International Journal of Energy Economics and Policy, vol.9, pp.199-215, 2019 (Refereed Journals of Other Institutions)

  • Publication Type: Article / Article
  • Volume: 9
  • Publication Date: 2019
  • Title of Journal : International Journal of Energy Economics and Policy
  • Page Numbers: pp.199-215