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Value at Risk Estimation For the BRICS Countries : A Comparative Study

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  • Ameni Ben Salem

    (Fseg Sousse, University of Sousse)

  • Imene Safer

    (FSEG Mahdia - Faculté des Sciences Économiques et de Gestion de Mahdia [Univ Monastir] - UM - جامعة المنستير - Université de Monastir - University of Monastir)

  • Islem Khefacha

    (LaREMFiQ, IHEC of Sousse, FSEG Mahdia - Faculté des Sciences Économiques et de Gestion de Mahdia [Univ Monastir] - UM - جامعة المنستير - Université de Monastir - University of Monastir)

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  • Ameni Ben Salem & Imene Safer & Islem Khefacha, 2021. "Value at Risk Estimation For the BRICS Countries : A Comparative Study," Post-Print hal-03502428, HAL.
    • Handle: RePEc:hal:journl:hal-03502428
    Note: View the original document on HAL open archive server: https://hal.science/hal-03502428v1
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    References listed on IDEAS

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    1. Diebold & Lopez, "undated". "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
    2. Yamai, Yasuhiro & Yoshiba, Toshinao, 2005. "Value-at-risk versus expected shortfall: A practical perspective," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 997-1015, April.
    3. West, Kenneth D. & Cho, Dongchul, 1995. "The predictive ability of several models of exchange rate volatility," Journal of Econometrics, Elsevier, vol. 69(2), pages 367-391, October.
    4. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Proceedings 512, Federal Reserve Bank of Chicago.
    5. Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2004. "The Use of GARCH Models in VaR Estimation," MPRA Paper 96332, University Library of Munich, Germany.
    6. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    7. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    8. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    9. Yamai, Yasuhiro & Yoshiba, Toshinao, 2002. "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 20(1), pages 87-121, January.
    10. Lumengo BONGA-BONGA & Lebogang NLEYA, 2018. "Assessing Portfolio Market Risk in the BRICS Economies: Use of Multivariate GARCH Models," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 87-128.
    11. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Apr), pages 39-69.
    12. Gita Persand & Chris Brooks, 2003. "Volatility forecasting for risk management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(1), pages 1-22.
    13. Sobreira, Nuno & Louro, Rui, 2020. "Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market," Finance Research Letters, Elsevier, vol. 32(C).
    14. Mandelbrot, Benoit B, 1972. "Correction of an Error in "The Variation of Certain Speculative Prices" (1963)," The Journal of Business, University of Chicago Press, vol. 45(4), pages 542-543, October.
    15. Philippe Artzner & Freddy Delbaen & Jean‐Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228, July.
    16. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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    1. Ben Salem, Ameni & Safer, Imene & Khefacha, Islem, 2022. "Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets," MPRA Paper 113350, University Library of Munich, Germany, revised May 2022.

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