Sinha, Pankaj; Agnihotri, Shalini - In: Journal of Indian Business Research 7 (2015) 3, pp. 222-242
Purpose – This paper aims to investigate the effect of non-normality in returns and market capitalization of stock portfolios and stock indices on value at risk and conditional VaR estimation. It is a well-documented fact that returns of stocks and stock indices are not normally distributed,...