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Volatility Model for Financial Market Risk Management : An Analysis on JSX Index Return Covariance Matrix. (2010). Herwany, Aldrin ; Febrian, Erie.
In: Working Papers in Business, Management and Finance.
RePEc:unp:wpaman:201004.

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  1. Aggrawal Reena, Inclan Carla and Leal Ricardo, 1999, Volatility in Emerging Stock Markets, Journal of Financial and Quantitative Analysis, 34, 33-54, USA Andersen Torben G, TimBollerslev, Diebold Francis X and Labys Paul, 2003, Modeling and Forecasting Realized Volatility, Econometrica, 71, 579-625, USA Andersen, T.G., T. Bollerslev, P.F. Christoffersen, and F.X. Diebold, 2005. “Practical Volatility And Correlation Modeling For Financial Market Risk Management.” Working Paper 11069, National Bureau Of Economic Research, Massachusetts.

  2. Bollerslev, T. 1986. Generalized Autoregressive Conditional Hetroscedasticity. Journal of Econometrics. 31. 307-327.

  3. Morgan J.P, 1997, CreditMetrics-Technical Document “ The Benchmark for understanding credit risk”, Bank of America, New York.
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  4. Nelson, Daniel B. (1991) – Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, 59, 347-370; Taylor, S.J. (1986) - Modelling Financial Time Series, John Wiley; Zakoian, J. M. 1994. Threshold Heteroscedastic Models. Journal of Economic Dynamic and Control. 18. 931-955. .

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