Open AccessFractional Integration and Value at Risk
Author(s) -
Francisco López Herrera,
Edgar Ortíz Calisto,
Raúl de Jesús Gutiérrez
Publication year - 2011
Publication title -
estocástica finanzas y riesgo (en línea)/estocástica finanzas y riesgo
Language(s) - English
Resource type - Journals
eISSN - 2007-5383
pISSN - 2007-5375
DOI - 10.24275/uam/azc/dcsh/efr/2011v11n1/lopez
Subject(s) - autoregressive fractionally integrated moving average , econometrics , volatility (finance) , long memory , economics , stock market index , value at risk , stock market , autoregressive model , stock (firearms) , autoregressive conditional heteroskedasticity , financial market , realized variance , emerging markets , financial economics , risk management , context (archaeology) , mechanical engineering , paleontology , management , finance , engineering , biology , macroeconomics