Piñeiro, J.; Tamazian, A.; Melikyan, David N. - In: Applied Econometrics and International Development 6 (2006) 2
In the last years the interest in the Value at Risk (VaR) estimation has significantly growth due to international financial instability. We modelled the daily VaR estimation trough different static and non-static variance techniques in order to evaluate the changes produced in financial risk...