Advanced search
Publication Cover
Applied Financial Economics Volume 21, 2011 - Issue 24
Submit an article Journal homepage
2,001
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

GJR-GARCH model in value-at-risk of financial holdings

Y. C. Su Department of Finance, National Taiwan University, 50, Taipei, Taiwan
,
H. C. Huang Department of Finance, Chung Yuan Christian University, Chung Li, TaiwanCorrespondence[email protected]
&
Y. J. Lin Department of Finance, National Taiwan University, 50, Taipei, Taiwan
Pages 1819-1829 | Published online: 19 Sep 2011

Citations (5)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (1)

P. Mantalos, A. Karagrigoriou, L. Střelec, P. Jordanova, P. Hermann, J. Kiseľák, J. Hudák & M. Stehlík. (2020) On improved volatility modelling by fitting skewness in ARCH models. Journal of Applied Statistics 47:6, pages 1031-1063.
Read now

Articles from other publishers (4)

Yuyun Hidayat, Titi Purwandari, Sukono, Igif Gimin Prihanto, Rizki Apriva Hidayana & Riza Andrian Ibrahim. (2023) Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility. Mathematics 11:23, pages 4761.
Crossref
D B Nugroho, D Kurniawati, L P Panjaitan, Z Kholil, B Susanto & L R Sasongko. (2019) Empirical performance of GARCH, GARCH-M, GJR-GARCH and log-GARCH models for returns volatility. Journal of Physics: Conference Series 1307:1, pages 012003.
Crossref
Xiao-Li Gong, Xi-Hua Liu & Xiong Xiong. (2019) Measuring tail risk with GAS time varying copula, fat tailed GARCH model and hedging for crude oil futures. Pacific-Basin Finance Journal 55, pages 95-109.
Crossref
Carol Alexander, Andreas Kaeck & Anannit Sumawong. (2019) A parsimonious parametric model for generating margin requirements for futures. European Journal of Operational Research 273:1, pages 31-43.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.