Showing 1 - 10 of 1,845
Persistent link: https://www.econbiz.de/10001411196
Persistent link: https://www.econbiz.de/10001297335
Persistent link: https://www.econbiz.de/10001679687
Persistent link: https://www.econbiz.de/10013425696
Persistent link: https://www.econbiz.de/10001696938
Persistent link: https://www.econbiz.de/10000669212
Persistent link: https://www.econbiz.de/10003327500
This paper explores empirically the link between French equities returns Value-at-Risk (VaR) and the state of financial markets cycle. The econometric analysis is based on a simple vector autoregression setup. Using quarterly data from 1970Q4 to 2008Q3, it turns out that the k-year VaR of French...
Persistent link: https://www.econbiz.de/10003824669
Persistent link: https://www.econbiz.de/10003899124
Persistent link: https://www.econbiz.de/10003441809