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- W2808073051 abstract "This is an empirical study of forecasting Value-at-Risk (VaR) in the major Asian economies. The VaR is first forecasted for Singapore, Malaysia, Hong Kong of China, Indonesia, South Korea, Philippines, Thailand, China, Taiwan of China and India using different competing models. The VaR estimates are then backtested using unconditional coverage test, conditional coverage test and loss function to arrive at the best VaR model for each of the economies. The results are mixed with the highest success rate of FIGARCH model. Also, the appropriateness of the models changes across quantiles and between tails." @default.
- W2808073051 created "2018-06-21" @default.
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- W2808073051 date "2018-01-01" @default.
- W2808073051 modified "2023-09-30" @default.
- W2808073051 title "Forecasting Value-at-Risk (VaR) in the Major Asian Economies" @default.
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- W2808073051 doi "https://doi.org/10.4236/tel.2018.89100" @default.
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