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In this paper historical performance of eleven approaches for estimation of one-day 95% value-at-risk is evaluated …-covariance method for VaR estimation were investigated. Performance of all approaches was evaluated using seven performance criteria … volatility. It also achieves perfect coverage (95 %) and the highest correlation between risk measure and absolute value of the …
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This paper examines features of the Czech stock market’s development from 1997 to 2003 and attempts to unveil the macroeconomic consequences of stock-price development. The analysis of the stock market’s behavior supports a cautionary stance on the hypothesis of the efficient-market theory,...
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