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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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书目详细资料
Main Authors:	Zatul Karamah Ahmad Baharul-Ulum, Ismail Ahmad, Norhana Salamudin, Norzaidi Mohd Daud
格式:	Non-Indexed Article
出版:	2015
在线阅读:	http://discol.umk.edu.my/id/eprint/8099/ http://e-journal.um.edu.my/public/article-view.php?id=7857
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