Assessing the Performance of Value – at – Risk Models in Hang Seng Index and China Securities Index

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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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Bibliographic Details
Main Author:	LI, VIVIANA
Format:	Dissertation (University of Nottingham only)
Language:	English English
Published:	2012
Online Access:	https://eprints.nottingham.ac.uk/26186/

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