Publication detail

Value-at-Risk on Central and Eastern European Stock Markets: An Empirical Investigation Using Symmetric and Asymmetric GARCH Models

Author(s): PhDr. Vít Bubák, M.A., Ph.D.,
Type: Chapter in book
Year: 2010
Number: 0
ISSN / ISBN: 978-80-246-1871-5
Published in: Blaha, Zdenek S. and Magda Pecena (eds.) Advanced Measurement Techniques for Market and Operational Risk
Publishing place: Karolinum
Keywords: Value-at-Risk, Expected Shortfall, Backtesting
JEL codes: C14, C32, C52, C53, G12
Suggested Citation:
Grants: IES Research Framework Institutional task (2005-2011) Integration of the Czech economy into European union and its development
Abstract:

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