Value-at-risk in the presence of asset price bubbles
In this study, we respond to the criticism that the value-at-risk (VaR) measure fails during financial crises and is only applicable during periods without asset price bubbles. We propose a new dating mechanism that is based on the work of Phillips (2015) to date-stamp the origination and terminatio...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2022-12-01
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| Series: | Journal of Applied Economics |
| Subjects: | |
| Online Access: | https://www.tandfonline.com/doi/10.1080/15140326.2021.1927441 |