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- W3110168124 abstract "When estimating market-risk in frontier or emerging markets, standard Value-at-Risk (VaR) models have been proven to be poorly adapted. Specific microstructure criteria of non-developed markets such as pronounced asymmetric information, low liquidity and over-predictability should be modelled. To tackle such a problem, market-risk is estimated here using four extensions of the basic AR(1)-GARCH(1,1)-GPD model: MFpred, MFliq, MFasy and MFcomb treating over-predictability, low liquidity and asymmetric volatility. Using backtesting, empirical results on Tunisian and Moroccan daily equity returns show that these adapted methods give significantly more accurate VaR estimators. This improvement is very pronounced during economic crises." @default.
- W3110168124 created "2020-12-07" @default.
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- W3110168124 date "2020-07-01" @default.
- W3110168124 modified "2023-09-23" @default.
- W3110168124 title "Value-at-risk in frontier markets : adapted models and evidences from two North-African stock exchanges" @default.
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