Goorbergh, R.W.J. van den; Vlaar, P.J.G. - de Nederlandsche Bank - 1999
In this paper various Value-at-Risk techniques are applied to the Dutch stock market index AEX and to the Dow Jones Industrial Average. The main conclusion are: (1) Changing volatility over time is the most important characteristic of stock returns when modelling value-at-risk; (2) For low...
