Browsing by Subject "GARCH"
Now showing items 1-2 of 2
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Economic policy uncertainty of China and investment opportunities: a tale of ASEAN stock markets
(Universidad ESAN. ESAN Ediciones , 2022-12-28 )Purpose: The purpose of this paper is to examine the effect of economic policy uncertainty (EPU) of China on investment opportunities in five ASEAN economies. Design/methodology/approach: This paper employs advanced empirical ...acceso abierto
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Value-at-risk predictive performance: a comparison between the CaViaR and GARCH models for the MILA and ASEAN-5 stock markets
(Universidad ESAN. ESAN Ediciones , 2021-12-19 )Purpose. This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during ...acceso abierto