Open AccessThe GARCH-GPD in market risks modeling: An empirical exposition on KOSPI
Author(s) -
Cheru Atsmegiorgis,
Jongtae Kim,
Sanghoo Yoon
Publication year - 2016
Publication title -
journal of the korean data and information science society
Language(s) - English
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2016.27.6.1661
Subject(s) - value at risk , econometrics , autoregressive conditional heteroskedasticity , statistic , market risk , economics , generalized pareto distribution , vector autoregression , stock market index , likelihood ratio test , statistics , test statistic , index (typography) , composite index , mathematics , stock market , risk management , statistical hypothesis testing , extreme value theory , volatility (finance) , computer science , geography , finance , context (archaeology) , archaeology , world wide web , composite indicator