Premium
Returns of Eastern European financial markets: α ‐stable distributions, measures of risk
Author(s) -
Serbinenko Anna,
Emmenegger JeanFrançois
Publication year - 2007
Publication title -
pamm
Language(s) - English
Resource type - Journals
ISSN - 1617-7061
DOI - 10.1002/pamm.200700856
Subject(s) - econometrics , autoregressive conditional heteroskedasticity , gaussian , economics , market risk , distribution (mathematics) , mathematics , financial risk , stable distribution , value at risk , financial market , stability (learning theory) , statistics , financial economics , risk management , finance , volatility (finance) , physics , computer science , mathematical analysis , quantum mechanics , machine learning
The daily returns of financial market indices of nineteen Eastern European countries are modelled, linear trend or ARMA( p , q ) for the levels and GARCH( p ′, q ′) for the residuals. For the non Gaussian residuals ‐stable distributions are proposed. Then, risk measures, like the STARR and the R‐ratio are used to analyse the risk in the cases of Gaussian and ‐stable distribution models of the residuals. (© 2008 WILEY‐VCH Verlag GmbH & Co. KGaA, Weinheim)