Gaio, Luiz Eduardo; Pimenta Júnior, Tabajara; Lima, … - In: International Journal of Managerial Finance 14 (2018) 5, pp. 591-612
Purpose: The purpose of this paper is to evaluate the predictive capacity of market risk estimation models in times of financial crises. Design/methodology/approach: For this, value-at-risk (VaR) valuation models applied to the daily returns of portfolios composed of stock indexes of developed...