Evidence from Emerging Economies in Asia

In this paper, various Value-at-Risk techniques are applied to stock indices of 9 Asian emerging financial markets. The results from our selected models are then backtested by Unconditional Coverage, Independence, Joint Tests of Unconditional Coverage and Independence and Basel tests to ensure the quality of Value-at-Risk (VaR) estimates.

14p elandorr 03-12-2019 15 0   Download