Gençay, Ramazan; Selçuk, Faruk - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002
In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine di.erent emerging markets. In addition to well-known modeling approaches such as variance-covariance method and historical simulation, we study the extreme value...