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...
| 发表在: | Institutions and Economies |
|---|---|
| 主要作者: | |
| 格式: | 文件 |
| 语言: | English |
| 出版: |
Faculty of Economics and Administration
2015
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| 在线阅读: | https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938689976&partnerID=40&md5=0505624fcb551a05228a8760ceec50d4 |