Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 197-221
Purpose - This paper tests the accuracies of the models that predict the Value-at-Risk (VaR) for the Market Integrated Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods. Design/methodology/approach - Many VaR estimation models...