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The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates

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  • CHRIS BROOKS
  • GITA PERSAND

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  • Chris Brooks & Gita Persand, 2003. "The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 4(2), pages 29-42, January.
    • Handle: RePEc:eme:jrfpps:eb022959
    DOI: 10.1108/eb022959
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    Cited by:

    1. Härdle, Wolfgang Karl & Mungo, Julius, 2008. "Value-at-risk and expected shortfall when there is long range dependence," SFB 649 Discussion Papers 2008-006, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    2. Ibrahim A. ONOUR & Bruno S. SERGI, 2011. "Modeling and forecasting volatility in global food commodity prices," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 57(3), pages 132-139.

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