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