Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10003492794
This paper analyses several volatility models by examining their ability to forecast the Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx...
Persistent link: https://www.econbiz.de/10012910130