1. bookTom 4 (2013): Zeszyt 1 (March 2013)
Informacje o czasopiśmie
Pierwsze wydanie
19 Sep 2012
Częstotliwość wydawania
2 razy w roku
Otwarty dostęp

An Empirical Evaluation of GARCH Models in Value-at-Risk Estimation: Evidence from the Macedonian Stock Exchange

Data publikacji: 14 May 2013
Tom & Zeszyt: Tom 4 (2013) - Zeszyt 1 (March 2013)
Zakres stron: 49 - 64
Informacje o czasopiśmie
Pierwsze wydanie
19 Sep 2012
Częstotliwość wydawania
2 razy w roku

1. Andjelić, G., Djaković, V., Radišić, S. (2010), “Application of VaR in Emerging markets: A Case of Selected Central and Eastern European Countries”, African Journal of Business Management, Vol. 4, No. 17, pp. 3666-3680. Search in Google Scholar

2. Angabini, A., Wasiuzzaman, S. (2011), “GARCH Models and the Financial Crisis-A Study of the Malaysian Stock Market”, The International Journal of Applied Economics and Finance, Vol. 5, No. 3, pp. 226-236. 10.3923/ijaef.2011.226.236Search in Google Scholar

3. Angelidis, T., Degiannakis, S. (2005), "Modeling Risk for Long and Short Trading Positions", The Journal of Risk Finance, Vol. 6, No. 3, pp. 226 - 238. 10.1108/15265940510599838Search in Google Scholar

4. Bae, K., Karolyi, G. A. (1994), “Good News, Bad News and International Spillovers of Stock Return Volatility between Japan and the U.S.”, Pacific-Basin Finance Journal, Vol. 2, No. 4, pp. 405-438. 10.1016/0927-538X(94)90003-5Search in Google Scholar

5. Balaban, E. (2002), “Comparative Forecasting Performance of Symmetric and Asymmetric Conditional Volatility Models of an Exchange Rate”, Working Paper, University of Edinburgh Center for Financial Markets Research, Edinburgh, pp. 1-14. 10.2139/ssrn.339521Search in Google Scholar

6. Bao, Y., Lee, T., Saltoglu, B. (2006), “Evaluating Predictive Performance of Value-at-Risk Models in Emerging Markets: A Reality Check”, Journal of Forecasting, Vol. 25, No. 2, pp. 101-128. 10.1002/for.977Search in Google Scholar

7. Batten, J. A., Szilagyi, P. G. (2011), “The Impact of the Global Financial Crisis on Emerging Financial Markets: An Introduction”, in Batten, J. A., Szilagyi P. G. (eds.), The Impact of the Global Financial Crisis on Emerging Financial Markets (Contemporary Studies in Economic and Financial Analysis 93), Emerald Group Publishing Limited, Bingley, pp. 3-17. Search in Google Scholar

8. Bekaert, G., Harvey, C. R. (1995), “Time-Varying World Market Integration”, Journal of Finance, Vol. 50, No. 2, pp. 403-444. 10.1111/j.1540-6261.1995.tb04790.xSearch in Google Scholar

9. Bekaert, G., Guojun, W. (2000), “Asymmetric Volatility and Risk in Equity Markets”, The Review of Financial Studies, Vol. 13, No. 1, pp. 1-42. 10.1093/rfs/13.1.1Search in Google Scholar

10. Benaković, D., Posedel, P. (2010), "Do Macroeconomic Factors Matter for Stock Returns? Evidence from Estimating a Multifactor Model on the Croatian Market", Business Systems Research Journal, Vol. 1, No.1-2, pp. 39-46. 10.2478/v10305-012-0023-zSearch in Google Scholar

11. Berndt, E., Hall, B., Hall, R., Hausman, J. (1974), “Estimation and Inference in Nonlinear Structural Models”, Annals of Economic and Social Measurement, Vol. 3, pp. 653-665. Search in Google Scholar

12. Black, F. (1976), “Studies of Stock Price Volatility Changes”, in Proceeding of the 1976 Meetings of the Business and Economic Statistics Section, American Statistical Association, pp. 177-181. Search in Google Scholar

13. Braun, P. A., Nelson, D. B., Sunier, A. M. (1995), “Good News, Bad News, Volatility, and Betas”, Journal of Finance, Vol. 50, No. 5, pp. 1575-1603. 10.1111/j.1540-6261.1995.tb05189.xSearch in Google Scholar

14. Bollerslev, T. (1987), “Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return”, Review of Economics and Statistics, Vol. 69, No. 3, pp. 542-547. 10.2307/1925546Search in Google Scholar

15. Brooks, C. (2008). Introductory Econometrics for Finance, 2nd ed., Cambridge, Cambridge University Press. Search in Google Scholar

16. Bollerslev, T., Chou, R. Y., Kroner, K. F. (1992), “ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence”, Journal of Econometrics, Vol. 52, No. 1-2, pp. 5-59. Search in Google Scholar

17. Brooks, C., Persand G. (2000), “A Word of Caution on Calculating Market Based Minimum Capital Risk Requirements”, Journal of Banking and Finance, Vol. 24, No. 10, pp. 1557-1574. 10.1016/S0378-4266(99)00092-8Search in Google Scholar

18. Campbell, J. Y., Hentshel, L. (1992), “No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns”, Journal of Financial Economics, Vol. 31, No. 3, pp. 281-318. 10.1016/0304-405X(92)90037-XSearch in Google Scholar

19. Cheung, Y., Ng, L. (1992), “Stock Price Dynamics and Firm Size: An Empirical Investigation”, Journal of Finance, Vol. 47, No. 5, pp. 1985-1997. 10.1111/j.1540-6261.1992.tb04693.xSearch in Google Scholar

20. Christie, A. A. (1982), “The Stochastic Behavior of Common Stock Variances - Value, Leverage and Interest Rate Effects” , Journal of Financial Economics, Vol. 10, No. 4, pp. 407-432. 10.1016/0304-405X(82)90018-6Search in Google Scholar

21. Curto, J. D., Pinto, J. C., Tavares, G. N. (2009), “Modelling Stock Markets’ Volatility Using GARCH Models with Normal, Student’s t and Stable Paretian Distributions”, Statistical Papers, Vol. 50, No. 2, pp. 311-321. 10.1007/s00362-007-0080-5Search in Google Scholar

22. Da Silva, A., Beatriz, V., de Melo Mendes, B. (2003), “Value-at-Risk and Extreme Returns in Asian Stock markets”, International Journal of Business, Vol. 8, No. 1, pp. 17-40. Search in Google Scholar

23. Dimitrakopoulos, D. N., Kavussanos M. G. and Spyrou, S. I. (2010), “Value at Risk Models for Volatile Emerging Markets Equity Portfolios”, The Quarterly Review of Economics and Finance, Vol. 50, No. 4, pp. 515-526. 10.1016/j.qref.2010.06.006Search in Google Scholar

24. Ding, Z., Engle, R., Granger C. (1993), “A Long Memory Property of Stock Market Returns and A New Model”, Journal of Empirical Finance, Vol. 1, No. 1, pp. 83-106. 10.1016/0927-5398(93)90006-DSearch in Google Scholar

25. Dufee, G. R. (1995), “Stock Returns and Volatility: A Firm Level Analysis”, Journal of Financial Economics, Vol. 37, No. 3, pp. 399-420. 10.1016/0304-405X(94)00801-7Search in Google Scholar

26. Engle, R. F. (1982), “Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of UK Inflation”, Econometrica, Vol. 50, No. 4, pp. 987-1008. 10.2307/1912773Search in Google Scholar

27. Engle, R. F. (2001), “GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics”, Journal of Economic Perspectives, Vol. 15, No. 4, pp. 157-168. 10.1257/jep.15.4.157Search in Google Scholar

28. Engle, R. F., Lilien, D. M., Robbins, R. P. (1987), “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model”, Econometrica, Vol. 55, No. 2, pp. 391-407. 10.2307/1913242Search in Google Scholar

29. Engle, R. F., Ng, V. K. (1993), “Measuring and Testing the Impact of News on Volatility”, Journal of Finance, Vol. 48, No. 5, pp. 1749-1778. 10.1111/j.1540-6261.1993.tb05127.xSearch in Google Scholar

30. Franses, P. H., Van Dijk, D. (1996), “Forecasting Stock Market Volatility Using (Non-Linear) GARCH Models”, Journal of Forecasting, Vol. 15, No. 3, pp. 229-235. 10.1002/(SICI)1099-131X(199604)15:3<229::AID-FOR620>3.0.CO;2-3Search in Google Scholar

31. French, K., Schwert, G., Stambaugh, R. (1987), “Expected Stock Returns and Volatility”, Journal of Financial Economics, Vol. 19, No. 1, pp. 3-29. 10.1016/0304-405X(87)90026-2Search in Google Scholar

32. Glosten, L. R., Jagannathan, R., Runkle, D. E. (1993), “On the Relation Between the Expected Value and the Volatility of the Nominal Excess Return on Stocks”, Journal of Finance, Vol. 48, No. 5, pp. 1779-1801. 10.1111/j.1540-6261.1993.tb05128.xSearch in Google Scholar

33. Gokcan, S. (2000), “Forecasting Volatility of Emerging Stock Markets: Linear Versus Non- Linear GARCH Models”, Journal of Forecasting, Vol. 19, No. 6, pp. 499-504. 10.1002/1099-131X(200011)19:6<499::AID-FOR745>3.0.CO;2-PSearch in Google Scholar

34. Hagerud, G. E. (1997), “Modelling Nordic Stock Returns with Asymmetric GARCH models”, Working Paper Series in Economics and Finance, Vol. 164, Stockholm School of Economics, Stockholm, pp. 1-26. Search in Google Scholar

35. Hien, M. T. T. (2008), “Modelling and Forecasting Volatility by GARCH-Type Models: The Case of Vietnam Stock Exchange”, A Dissertation Presented in Part Consideration for the Degree of MA. Finance and Investment, pp. 1-97, available at: http://edissertations.nottingham.ac.uk/2017/1/08MAlixhm7.pdf (9 April 2012). Search in Google Scholar

36. Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk, 3rd ed., New York, McGraw-Hill. Search in Google Scholar

37. Kovacic, Z. (2007), “Forecasting Volatility: Evidence from the Macedonian Stock Exchange” Unpublished MPRA Paper No. 5319, pp. 1-44, available at: http://mpra.ub.unimuenchen. de/5319/1/MPRA_paper_5319.pdf (15 January 2012). Search in Google Scholar

38. Macedonian stock exchange, available at: http://www.mse.org.mk (5 December 2011). Search in Google Scholar

39. Magnusson, G., Andonov, S. (2002), “Basel Capital Adequacy Ratio and the Iceland Banking Sector: Quantitative Impact, Structural Changes and Optimality Considerations”, IOES Working Paper Series, W02:05, pp. 1-51, Institute of Economic Studies, Reykjavik, May 2002. Search in Google Scholar

40. Mandelbrot, B. (1963), “The Variation of Certain Speculative Prices”, Journal of Business, Vol. 36, No. 4, pp. 349-419. Search in Google Scholar

41. McMillan, D. G., Speight, A. E. H. (2007), “Value-at-Risk in Emerging Equity Markets: Comparative Evidence for Symmetric, Asymmetric and Long-Memory GARCH Models”, International Review of Finance, Vol. 7, No. 1-2, pp. 1-19. 10.1111/j.1468-2443.2007.00065.xSearch in Google Scholar

42. Nelson, D. B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, Vol. 59, No. 2, pp. 347-370. 10.2307/2938260Search in Google Scholar

43. Ng, A. (2000), “Volatility Spillover Effects from Japan and the US to the Pacific-Basin”, Journal of Monetary Economics, Vol. 19, No. 2, pp. 207-233. Search in Google Scholar

44. Pagan, A. R., Schwert, G. W. (1990), “Alternative Models for Conditional Stock Volatility”, Journal of Econometrics, Vol. 45, No. 1-2, pp. 267-290. 10.1016/0304-4076(90)90101-XSearch in Google Scholar

45. Parrondo, J. M. R. (1997), “Calculation of the Value at Risk in Emerging Markets”, Working Paper, Universidad Complutense de Madrid, Madrid, pp. 1-38. Search in Google Scholar

46. Poon, S., Granger, C. W. J. (2003), “Forecasting Volatility in Financial Markets, A Review”, Journal of Economic Literature, Vol. 41, No. 2, pp. 478-539. 10.1257/.41.2.478Search in Google Scholar

47. Schwert, G. W. (1990), “Stock Volatility and the Crash of ’87”, Review of Financial Studies, Vol. 3, No. 1, pp. 77-102. 10.1093/rfs/3.1.77Search in Google Scholar

48. Valentinyi-Endresz, M. (2004), “Structural Breaks and Financial Risk Management”, Magyar Nemzeti Bank, Working paper, No. 2004/11, Budapest, pp. 1-60, Search in Google Scholar

49. Vilasuso, J. (2002), “Forecasting Exchange Rate Volatility”, Economics Letters, Vol. 76, No. 1, pp. 59-64. 10.1016/S0165-1765(02)00036-8Search in Google Scholar

50. Zikovic, S. (2007), “Measuring Market Risk in EU New Member States”, available at: http://www.hnb.hr/dub-konf/13-konferencija/zivkovic.pdf (12 December 2011). Search in Google Scholar

51. Zikovic, S., Aktan, B. (2009), “Global Financial Crisis and VAR Performance in Emerging Markets: A Case of EU Candidate States - Turkey and Croatia”, Journal of Economics and Business - Proceedings of Rijeka Faculty of Economics, Vol. 27, No. 1, pp. 149-170. Search in Google Scholar

52. Zikovic, S., Bezic, H. (2006), “Is Historical Simulation Appropriate for Measuring Market Risk? A Case of Countries Candidates for EU accession”, in Proceedings of the CEDIMES conference, Ohrid, Macedonia, 23-27th March, pp. 1-20. Search in Google Scholar

53. Zikovic, S., Filler, R. K. (2009), “Hybrid Historical Simulation VAR and ES: Performance in Developed and Emerging Markets”, CESifo Working paper Series, No. 2820, pp. 1-39, available at: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WPCESifo_Working_Papers/wp-cesifo-2009/wp-cesifo-2009-10/cesifo1_wp2820.pdf (14 December 2011). Search in Google Scholar

Polecane artykuły z Trend MD

Zaplanuj zdalną konferencję ze Sciendo