Sarafrazi, Soodabeh; Hammoudeh, Shawkat; AraújoSantos, … - In: Journal of International Financial Markets, … 32 (2014) C, pp. 368-396
This paper evaluates the value at risk for individual sovereign bond and national equity markets for 10 member countries in the euro-zone, using four estimation models and three accuracy criteria in addition to the daily capital requirements, for the full sample period and a subperiod that marks...