Li, Ming-Yuan Leon; Lin, Hsiou-wei William - In: Applied Economics Letters 11 (2004) 11, pp. 679-691
This paper estimates the Value-at-Risk (VaR) on returns of stock market indexes including Dow Jones, Nikkei, Frankfurt Commerzbank index, and FTSE via Markov Switching ARCH (SWARCH) models. It is conjectured that structural changes contribute to non-normality in stock return distributions....