Köksal, Bülent; Orhan, Mehmet - Volkswirtschaftliche Fakultät, … - 2012
This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and developing countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...