Köksal, Bülent; Orhan, Mehmet - In: Emerging Markets Finance and Trade 49 (2013) 3, pp. 20-34
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 VaR is assessed using both the unconditional and conditional tests of Kupiec and Christoffersen, respectively, as well as the...