Value-at-risk (VAR) estimation and backtesting during COVID-19: Empirical analysis based on BRICS and US stock markets
Value-at-risk (VaR) is the most common and widely used risk measure that enterprises, particularly major banking corporations and investment bank firms employ in their risk mitigation processes. The purpose of this study is to investigate the value-at-risk (VaR) estimation models and their predictiv...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
LLC "CPC "Business Perspectives"
2022-01-01
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| Series: | Investment Management & Financial Innovations |
| Subjects: | |
| Online Access: | https://www.businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/16095/IMFI_2022_01_Shaik.pdf |