Degiannakis, Stavros; Floros, Christos; Livada, Alexandra - In: Managerial Finance 38 (2012) March, pp. 436-452
Purpose – The purpose of this paper is to focus on the performance of three alternative value-at-risk (VaR) models to provide suitable estimates for measuring and forecasting market risk. The data sample consists of five international developed and emerging stock market indices over the time...