IDEAS home Printed from https://ideas.repec.org/a/mes/eaeuec/v62y2024i4p409-428.html
   My bibliography  Save this article

The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries

Author

Listed:
  • Quang Van Tran
  • Jiri Malek

Abstract

The COVID pandemic and the war in Ukraine are extraordinary events causing excessive turbulence in financial markets. Considering the leptokurtic and heteroscedastic properties of returns on financial assets, we examine the suitability of several alternatives for modeling returns to choose the most suitable option to compute the VaR and CVaR for returns of three stock market indices as well as euro exchange rates in Czechia, Poland, and Hungary. Using an appropriate test, we evaluate how the two metrics of VaR and CVaR changed during the pandemic and the war in Ukraine up to June 2022.

Suggested Citation

  • Quang Van Tran & Jiri Malek, 2024. "The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries," Eastern European Economics, Taylor & Francis Journals, vol. 62(4), pages 409-428, July.
    • Handle: RePEc:mes:eaeuec:v:62:y:2024:i:4:p:409-428
    DOI: 10.1080/00128775.2023.2278809
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00128775.2023.2278809
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00128775.2023.2278809?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:eaeuec:v:62:y:2024:i:4:p:409-428. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MEEE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.