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EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk Cover

EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk

Central European Economic Journal
Volume 3 (2017): Issue 50 (December 2017)
By: Marcin Chlebus  
Open Access
|Dec 2018

Authors

Marcin Chlebus

mchlebus@wne.uw.edu.pl

Faculty of Economic Science, University of Warsaw, Warsaw, Poland
DOI: https://doi.org/10.1515/ceej-2017-0014 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001
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Language: English
Page range: 01 - 25
Published on: Dec 18, 2018
Published by: Faculty of Economic Sciences, University of Warsaw
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
value-at-risk,
state of turbulence,
GARCH,
tail distributions,
market risk
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Economic policy

© 2018 Marcin Chlebus, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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