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

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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