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Backtesting VaR under the COVID-19 sudden changes in volatility
We analyze the impact of the COVID-19 pandemic on the conditional variance of stock returns. We look at this effect from a global perspective, so we employ series of major stock market and sector indices. We use the Hansen’s Skewed-t distribution with EGARCH extended to control for sudden changes in...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Published by Elsevier Inc.
2021
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8863910/ https://www.ncbi.nlm.nih.gov/pubmed/35221805 http://dx.doi.org/10.1016/j.frl.2021.102024 |