Journal of Financial Risk Management

Vol.4 No.3(2015), Paper ID 60075, 19 pages

DOI:10.4236/jfrm.2015.43014

 

Predicting Conditional Autoregressive Value-at-Risk for Stock Markets during Tranquil and Turbulent Periods

 

Anastassios A. Drakos, Georgios P. Kouretas, Leonidas Zarangas

 

Department of Business Administration, Athens University of Economics and Business, Athens, Greece
IPAG Business School, France and Department of Business Administration, Athens University of Economics and Business, Athens, Greece
Department of Finance & Auditing, Technological Educational Institute of Epirus, Preveza, Greece

 

Copyright © 2015 Anastassios A. Drakos, Georgios P. Kouretas, Leonidas Zarangas et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Drakos, A. A., Kouretas, G. P., & Zarangas, L. (2015) Predicting Conditional Autoregressive Value-at-Risk for Stock Markets during Tranquil and Turbulent Periods. Journal of Financial Risk Management, 4, 168-186. doi: 10.4236/jfrm.2015.43014.

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