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Performance Evaluation of VAR Models in Emerging Markets
Company: Instituto Superior de Ciências do Trabalho e da Empresa
Year Of Publication: 2009
Month Of Publication: May
Pages: 93
Download Count: 15
View Count: 1629
Comment Num: 0
Language: Portugese
Who Can Read: Free
Date: 5-17-2010
Publisher: Administrator
Summary
This thesis is about modelling and forecasting stock market risk in two emerging East European economies: Bulgaria and Romania. The potential for stock market growth in both countries and their integration into the European Union have triggered an increase in investments by foreign financial institutions. However, due to high return volatility and low liquidity, investments in those markets are considered high-risk. In order to prevent unexpected losses, which may cause financial difficulties or even insolvency, financial institutions operating there need to develop accurate models for the estimation of market risk exposure.

In the present study, backtesting techniques (Kupiec’s test, 1995, and Christoffersen’s Markov test, 1998) are employed to evaluate the performance of several Value-at-risk (VaR) methodologies in both markets. In particular, parametric approaches based on Normal and Student-t conditional distributions (with time-varying and constant variance), and on the Gene
Author(s)
Todorova, Darina Sign in to follow this author
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