The effects of risk modelling: Assessing value-at-risk accuracy

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The effects of risk modelling: Assessing value-at-risk accuracy

This study examines Value-at-Risk (VaR) models that are integrated with several volatility representations to estimate the market risk for seven nonfinancial sectors traded on the first board of the Malaysian stock exchange. In a sample that spanned 19 years from1993 until 2012 for construction, con...

書誌詳細
出版年:	Institutions and Economies
第一著者:	Baharul-Ulum Z.K.A.; Ahmad I.; Salamudin N.; Daud N.M.
フォーマット:	論文
言語:	English
出版事項:	Faculty of Economics and Administration 2015
オンライン･アクセス:	https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938689976&partnerID=40&md5=0505624fcb551a05228a8760ceec50d4

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