Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia
We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition to widely used VaR models, we also study the behaviour of conditional and un...
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
| Published: |
Faculty of Economics University of Rijeka
2009-06-01
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| Series: | Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu |
| Subjects: | |
| Online Access: | https://www.efri.hr/sites/efri.hr/files/cr-collections/2/aktan-2009-1.pdf |