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Keywords: GARCH
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Journal Articles
Expected shortfall in the presence of asymmetry and long memory: An application to Vietnamese stock markets
Available to Purchase
Journal:
Pacific Accounting Review
Pacific Accounting Review (2017) 29 (2): 132–151.
Published: 03 April 2017
..., the author tests both indices for long memory in their returns and squared returns. Second, the author applies several generalised autoregressive conditional heteroskedasticity (GARCH) models to account for asymmetry and long memory effects in conditional volatility. Finally, the author back tests the GARCH...
