Ural, Mert - In: Journal of BRSA Banking and Financial Markets 3 (2009) 2, pp. 63-86
In this paper the alternative value-at-risk (VaR) and expected shortfall (ES) analysis were made according to different error distribution assumptions by using stock market daily return series of Turkey (ISE100), United Kingdom (FTSE100), Japan (NIKKEI225) and France (CAC40). The backtesting...
