We study the performance of range-based models over varying market conditions and compare their performance against a set of alterative risk measurement models, including the more widely used techniques in practice for measuring the Value-at-Risk (VaR) of seven financial market indices. In...

Market efficiency tests in developing markets display mixed evidence, in contrast to evidence on developed markets where the null hypothesis seems to be supported. Specifically, previous tests for market efficiency on the index and on samples of stocks traded in the Athens Stock Exchange (ASE)...