Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10003744221
Persistent link: https://www.econbiz.de/10003351012
This paper analyses the application of several volatility models to forecast daily Value-at-Risk (VaR) both for single assets and portfolios. We calculate the VaR number for 4 Greek stocks, 2 portfolios based on these securities and for the Athens Stock Exchange General Index. We model VaR for...
Persistent link: https://www.econbiz.de/10013004439