In this work we propose Monte Carlo simulation models for dynamically computing MaxVaR for a financial return series. This dynamic MaxVaR takes into account the time-varying volatility as well as non-normality of returns or innovations. We apply this methodology to five stock market indices. To...

This paper constructs a robust Value-at-Risk (VaR) measure for the Indian stock markets by combining two well-known facts about equity return time series -- dynamic volatility resulting in the well-recognized phenomenon of volatility clustering, and non-normality giving rise to fat tails of the...

Purpose: Tourism researchers proposed that service quality dimensions of tourist destinations can contribute in developing a favorable or unfavorable image among travelers which affect visitors’ loyalty or disloyalty as well as destination image. However, such claims are seldom evaluated into...