Essays about: "Florin George Dragu"

Found 1 essay containing the words Florin George Dragu.

  1. 1. The performance of time-varying volatility and regime switching models in estimating Value-at-Risk

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Alina Birtoiu; Florin George Dragu; [2012]
    Keywords : Business and Economics;

    Abstract : Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity due to their ability to account for shifts volatility regimes that tend to characterize returns series. Previous empirical studies have shown that this capacity to capture the volatility dynamics leads to a superior forecasting power of the MRS models. READ MORE