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Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models

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  • Claudiu Ilie OPREANA

    (Lucian Blaga University of Sibiu)

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  • Claudiu Ilie OPREANA, 2013. "Estimation of Value-at-Risk on Romanian Stock Exchange Using Volatility Forecasting Models," Expert Journal of Finance, Sprint Investify, vol. 1(1), pages 4-18, December.
    • Handle: RePEc:exp:finnce:v:1:y:2013:i:1:p:4-18
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    References listed on IDEAS

    as
    1. Darryll Hendricks, 1996. "Evaluation of value-at-risk models using historical data," Economic Policy Review, Federal Reserve Bank of New York, vol. 2(Apr), pages 39-69.
    2. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    3. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
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