Showing 1 - 9 of 9
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/10003608129
Persistent link: https://www.econbiz.de/10003984611
Persistent link: https://www.econbiz.de/10010415730
Persistent link: https://www.econbiz.de/10002233742
Persistent link: https://www.econbiz.de/10001720960
Persistent link: https://www.econbiz.de/10001329811
Persistent link: https://www.econbiz.de/10012429907
Persistent link: https://www.econbiz.de/10012319299