Serrano Bautista, Ramona; Núñez Mora, José Antonio - In: Journal of economics, finance & administrative science 26 (2021) 52, pp. 197-221
Latin America (MILA) and Association of Southeast Asian Nations (ASEAN) emerging stock markets during crisis periods. Design …/methodology/approach - Many VaR estimation models have been presented in the literature. In this paper, the VaR is estimated using the Generalized … robustness of the CaViaR model in out-sample VaR forecasting for the MILA and ASEAN-5 emerging stock markets in crisis periods …