Showing 41 - 50 of 106,262
Persistent link: https://www.econbiz.de/10000015605
Persistent link: https://www.econbiz.de/10000953242
Persistent link: https://www.econbiz.de/10003714037
Persistent link: https://www.econbiz.de/10003732644
Persistent link: https://www.econbiz.de/10003757993
Persistent link: https://www.econbiz.de/10002112006
Persistent link: https://www.econbiz.de/10003348625
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/10003484029
Persistent link: https://www.econbiz.de/10008664762