Essays on value at risk and asset price bubbles
This thesis describes a series of investigations into the reliability of different financial risk models for measuring downside risks during financial crises caused by the bursting of asset price bubbles. It also provides further insight into modelling asset price series with periodically collapsing...
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University of Newcastle upon Tyne
2017
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Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.740522 |