The effects of risk modelling: assessing value-at-risk accuracy
This study examines Value-at-Risk (VaR) models that are integrated with several volatility representations to estimate the market risk for seven nonfinancial sectors traded on the first board of the Malaysian stock exchange. In a sample that spanned 19 years from1993 until 2012 for construction, con...
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| Main Authors: | , , , |
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| Format: | Non-Indexed Article |
| Published: |
2015
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| Online Access: | http://discol.umk.edu.my/id/eprint/8099/ http://e-journal.um.edu.my/public/article-view.php?id=7857 |
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