The present study adds evidence, from three former emerging and currently transition countries along with two EU member countries of South and Eastern Europe, relevant to the market risk their stock exchanges possess under the same global financial environment. In order to assess market risk, we use four Value-at-Risk methodologies, namely, Historical Simulation (HS), Conditional Historical Simulation (CHS), Extreme Value Theory (EVT) and Conditional Extreme Value Theory (CEVT). Hungary exhibits higher risk under extreme conditions indicating that its market is much more vulnerable than all other markets under study.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 2 (2007) Issue (Month): 1 (January) Pages: 21-33 Download reference. The following formats are available: HTML
(with abstract),
plain text
(with abstract),
BibTeX,
RIS (EndNote, RefMan, ProCite),
ReDIF
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)