Pandemic augmented GARCH and CAViaR models: assessing Covid-19 impact on financial tail risk

Vernuccio, Benedetta (A.A. 2021/2022) Pandemic augmented GARCH and CAViaR models: assessing Covid-19 impact on financial tail risk. Tesi di Laurea in Econometric theory, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 81. [Master's Degree Thesis]

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Abstract/Index

Model specification. GARCHX model. CAViaRX models. VaR and CVaR analysis. Local level model with seasonality. Data. Descriptive statistics. Empirical results. Backtesting the VaR: results. Local level model with seasonality.

References

Bibliografia: pp. 53-55.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Econometric theory
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Morelli, Giacomo
Academic Year: 2021/2022
Session: Summer
Deposited by: Alessandro Perfetti
Date Deposited: 04 Oct 2022 08:04
Last Modified: 04 Oct 2022 08:04
URI: https://tesi.luiss.it/id/eprint/33523

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