Tiwa Kanyamee

National Institute of Development Administration

118 Seri Thai Road

Bangkok, 10240

Thailand

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Scholarly Papers (1)

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Evaluation of Value-at-Risk Estimation Using Long Memory Volatility Models: Evidence from Stock Exchange of Thailand

Number of pages: 19 Posted: 15 Feb 2014
National Institute of Development Administration, School of Development Economics, Kasetsart University - Department of Accounting, Faculty of Business Administration and National Institute of Development Administration
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Abstract:

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Value-at-Risk, Long Memory Process, FIGARCH, Stock Exchange of Thailand