Showing 1 - 10 of 2,592
Persistent link: https://www.econbiz.de/10001846765
Persistent link: https://www.econbiz.de/10011589035
This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find...
Persistent link: https://www.econbiz.de/10011855291
Persistent link: https://www.econbiz.de/10011770636
Persistent link: https://www.econbiz.de/10014514435
Persistent link: https://www.econbiz.de/10012437733
Persistent link: https://www.econbiz.de/10003743875
Persistent link: https://www.econbiz.de/10003809314
Persistent link: https://www.econbiz.de/10009412608