Value-at-Risk (VAR) Estimation Methods: Empirical Analysis based on BRICS Markets
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Keywords
; ; ; ; ; ; ; ;JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CIS-2022-07-18 (Confederation of Independent States)
- NEP-DEM-2022-07-18 (Demographic Economics)
- NEP-RMG-2022-07-18 (Risk Management)
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