Comparison and Forecasting of VaR Models for Measuring Financial Risk: Evidence from China
With increasing extremal risk, VaR has been becoming a popular methodology because it is easy to interpret and calculate. For comparing the performance of extant VaR models, this paper makes an empirical analysis of five VaR models: simple VaR, VaR based on RiskMetrics, VaR based on different distri...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Hindawi Limited
2022
|
| Online Access: | View Fulltext in Publisher |