160
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

Comparing estimates of risk between markets and telecommunications institutions in Europe

&
Pages 575-579 | Published online: 08 Feb 2011

References

  • Akgiray , V. 1989 . Conditional heteroscedasticity in time series of stock returns: evidence and forecasts . Journal of Business , 62 : 55 – 80 .
  • Ballie , T. R. and Bollerslev , T. 1992 . Prediction in dynamic with time-dependent conditional variances . Journal of Econometrics , 52 : 91 – 114 .
  • Bera , A. and Higgins , M. 1993 . ARCH models: properties, estimation and testing . Journal of Economic Surveys , 7 : 305 – 66 .
  • Berkowitz , J. and O'Brien , J. 2002 . How accurate are Value-at-Risk models at commercial banks . The Journal of Finance , 57 : 1093 – 111 .
  • Bollerslev , T. 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Box , E. P. G. and Jenkins , M. G. 1970 . Time Series Analysis Forecasting and Control , San Francisco, CA : Holden-Day .
  • Brailsford , T. J. and Faff , R. W. 1996 . An evaluation of volatility forecasts . Journal of Banking and Finance , 20 : 419 – 38 .
  • Brooks , C. and Persand , G. 2003 . Volatility forecasting for risk management . Journal of Forecasting , 22 : 1 – 22 .
  • Chong , C. W. , Ahmad , M. I. and Abdullah , M. Y. 1999 . Performance of GARCH models in forecasting stock market volatility . Journal of Forecasting , 18 : 333 – 43 .
  • Chu , S. H. and Freund , S. 1996 . Volatility estimation for stock index options: a GARCH approach . Quarterly Review of Economics and Finance , 36 : 431 – 50 .
  • Engle , E. R. 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation . Econometrica , 50 : 987 – 1007 .
  • Lamoureux , G. C. and Lastrapes , D. W. 1990 . Heteroskedasticity in stock return data: volume versus GARCH effects . Journal of Finance , 45 : 221 – 9 .
  • Pagan , A. R. and Schewert , G. W. 1990 . Alternative models for conditional stock volatilities . Journal of Business , 53 : 267 – 90 .
  • So , K. P. M. and Yu , L. H. P. 2006 . Empirical analysis of GARCH models in value at risk estimation . Journal of International Financial Markets, Institutions and Money , 16 : 180 – 97 .
  • West , C. D. and Cho , D. 1995 . The predictive ability of several models of exchange rate volatility . Journal of Econometrics , 69 : 367 – 91 .
  • Wong , M. C. S. , Cheng , W. Y. and Wong , C. Y. P. 2003 . Market risk management of banks: implications from the accuracy of value-at-risk forecasts . Journal of Forecasting , 22 : 23 – 33 .

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:

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:

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.