Dockery, Everton; Efentakis, Miltiadis; Al-Faryan, … - In: Risk Governance and Control: Financial Markets & … 8 (2018) 2, pp. 7-40
We study the performance of range-based models over varying market conditions and compare their performance against a set of alterative risk measurement models, including the more widely used techniques in practice for measuring the Value-at-Risk (VaR) of seven financial market indices. In...