Value-at-Risk Analysis for the Tunisian Currency Market: A comparative study
The main purpose of this paper is to compare empirically four Value-at-Risk simulation methods, namely, the Variance-Covariance, the Historical Simulation, the Bootstrapping and the Monte Carlo. We tried to estimate the VaR associated to three currencies and four currency portfolios in the Tunisian...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2012-06-01
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| Series: | International Journal of Economics and Financial Issues |
| Subjects: | |
| Online Access: | https://dergipark.org.tr/tr/pub/ijefi/issue/31953/351825?publisher=http-www-cag-edu-tr-ilhan-ozturk |