Value at Risk in the South African equity market: a view from the tails
Traditional parametric Value at Risk (VaR) estimates assume normality in financial returns data. However, it is well known that this distribution, while convenient and simple to implement, underestimates the kurtosis demonstrated in most financial returns. Huisman, Koedijk and Pownall (1998) repla...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2010-09-01
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| Series: | South African Journal of Economic and Management Sciences |
| Online Access: | https://sajems.org/index.php/sajems/article/view/109 |