This study is an attempt to compare a comprehensive list of GARCH Models in quantifying risks of VaR under stress times. We gather data of stock market indices from both emerging (Brazil and Turkey) and developed (Germany and the USA) markets, over the period of global financial crisis and make...

This article reviews the functioning of prominent Credit Rating Agencies (CRAs) and suggests a better mechanism for rating. We start with the historical evolvement of the CRAs and the emergence of the three that are recognized first in the USA and then all round the world. The performance...

A literature search shows that robust regression techniques are rarely used in applied econometrics. We present a technique based on Rousseeuw and Van Zomeren (Journal of the American Statistical Association, 85 (1990) 633–639) that removes many of the difficulties in applying such techniques...

This study compares the performance of the widely used risk measure Value-at-Risk (VaR) across a large sample of developed and emerging countries. The performance of the VaR is assessed by both unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...

The systematic risk of IPO's in the thinly traded Istanbul Stock Exchange (ISE) are estimated using Empirical Bayes Estimators (EBE). The sectors that the firms belong to, provide the priors. Comparisons are made with OLS estimators across different estimation and forecasting periods. Two...

This study is an attempt to compare and contrast the ratings granted by prominent agencies, the so-called Big Three namely S&P, Moody's and Fitch that dominate the market. The sovereign ratings are proven to motivate the CDS figures of countries empirically, and low ratings are known to increase...