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Forecasting and Backtesting of Market Risks in Emerging Marketsстатья
- Автор: Fantazzini Dean
- Сборник: Risk Assessment and Financial Regulation in Emerging Markets' Banking: Trends and Prospects
- Год издания: 2021
- Место издания: Springer
- Первая страница: 199
- Последняя страница: 223
- DOI: 10.1007/978-3-030-69748-8_9
- Аннотация: Emerging markets often go through periods of financial turbulence and the estimation of market risk measures may be problematic. Online search queries and implied volatility may (or may not) improve the model estimates. In these situations a step-by-step analysis with R and Russian market data is provided. Four classes of models are considered (GARCH, HAR, ARFIMA, and realized-GARCH), and a detailed forecasting and backtesting investigation is performed.
- Добавил в систему: Фантаццини Деан c.