Bec, Frédérique; Gollier, Christian - Toulouse School of Economics (TSE) - 2014
This paper explores empirically the link between stocks returns Value-at-Risk (VaR) and the state of financial markets across various holding horizons. The econometric analysis is based on a self-exciting threshold autoregression setup. Using quarterly French and US data from 1970Q4 to 2012Q4,...