Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio

Wei-Guo Zhang, Guo-Li Mo, Fang Liu, Yong-jun Liu. Value-at-risk forecasts by dynamic spatial panel GJR-GARCH model for international stock indices portfolio. Soft Comput., 22(16):5279-5297, 2018. [doi]

Abstract

Abstract is missing.