Open AccessValue at Risk Models in Indian Markets: A Predictive Ability Evaluation Study
Author(s) -
Kushagra Goel,
Sunny Oswal
Publication year - 2019
Publication title -
theoretical economics letters
Language(s) - English
Resource type - Journals
eISSN - 2162-2078
pISSN - 2162-2086
DOI - 10.4236/tel.2019.98177
Subject(s) - value at risk , econometrics , economics , value (mathematics) , portfolio , market risk , actuarial science , rank (graph theory) , market value , parametric statistics , autoregressive conditional heteroskedasticity , distribution (mathematics) , financial economics , statistics , mathematics , risk management , finance , mathematical analysis , combinatorics , volatility (finance)