Value-at-Risk for long and short trading positions: The case of the Athens Stock Exchange
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Cited by:
- Degiannakis, Stavros & Floros, Christos & Livada, Alexandra, 2012. "Evaluating Value-at-Risk Models before and after the Financial Crisis of 2008: International Evidence," MPRA Paper 80463, University Library of Munich, Germany.
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More about this item
Keywords
Value-at-Risk; risk management; APARCH models; skewed Student distribution;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2006-10-07 (Financial Markets)
- NEP-RMG-2006-10-07 (Risk Management)
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