Angelidis, Timotheos; Benos, Alexandros; Degiannakis, … - In: Review of Quantitative Finance and Accounting 28 (2007) 2, pp. 187-201
This paper analyses several volatility models by examining their ability to forecast Value-at-Risk (VaR) for two different time periods and two capitalization weighting schemes. Specifically, VaR is calculated for large and small capitalization stocks, based on Dow Jones (DJ) Euro Stoxx indices...