Purpose – Aims to investigate the accuracy of parametric, nonparametric, and semiparametric methods in predicting the one‐day‐ahead value‐at‐risk (VaR) measure in three types of markets (stock exchanges, commodities, and exchange rates), both for long and short trading positions....

Purpose – Aims to investigate the accuracy of parametric, nonparametric, and semiparametric methods in predicting the one-day-ahead value-at-risk (VaR) measure in three types of markets (stock exchanges, commodities, and exchange rates), both for long and short trading positions....