Assessing the Performance of Value – at – Risk Models in Hang Seng Index and China Securities Index
Abstract: In the paper, we investigate the relative performance of different Value at Risk ( VaR ) models with the log returns of China(CSI300) and Hong Kong(HSI) stock index prior to and during the financial crisis. In addition to wider the range of VaR models we study the behaviour of Historical...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English English |
| Published: |
2012
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| Online Access: | https://eprints.nottingham.ac.uk/26186/ |