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

Central European Economic Journal

Volume 3 (2017): Issue 50 (December 2017)

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Open Access

|Dec 2018

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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 times per year

Keywords:

state of turbulence,

tail distributions,

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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