Dockery, Everton; Efentakis, Miltos - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 201-218
This paper compares a select number of Value-at-Risk (VaR) models using daily data from the London stock exchange for estimating the model-based VaR. The period covers volatile market conditions triggered by a host of events that induced market uncertainty. Our results provide an indication of...
