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Economic Research-Ekonomska Istraživanja Volume 28, 2015 - Issue 1
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Performance of Value at Risk models in the midst of the global financial crisis in selected CEE emerging capital markets

Mirjana MileticDirectorate for Economic Research and Statistics, National bank of Serbia, Kralja Petra 12, 11000Belgrade, SerbiaCorrespondence[email protected]
&
Sinisa MileticDepartment of Finance, College for Business Economics and Entrepreneurship, Mitropolita Petra 8, 11000Belgrade, Serbia
Pages 132-166 | Received 14 Nov 2012, Accepted 06 Feb 2015, Published online: 07 Apr 2015

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Matthew C. Li, Catherine C. Lai & Ling Xiao. (2022) Did COVID-19 increase equity market risk exposure? Evidence from China, the UK, and the US. Applied Economics Letters 29:6, pages 567-571.
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Faisal Nawaz, Faisal Shahzad, Ijaz Ur Rehman, Muhammad Shujahat, Shabir Hyder & Sameer Al Barghouthi. (2019) The Performance of Gaussian and non Gaussian dynamic models in assessing market risk: The Implications for risk management. Communications in Statistics - Theory and Methods 48:13, pages 3360-3376.
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Julija Cerović Smolović, Milena Lipovina-Božović & Saša Vujošević. (2017) GARCH models in value at risk estimation: empirical evidence from the Montenegrin stock exchange. Economic Research-Ekonomska Istraživanja 30:1, pages 477-498.
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Articles from other publishers (8)

Keqi Tan, Yu Chen & Dan Chen. (2023) A New Risk Measure MMVaR: Properties and Empirical Research. Journal of Systems Science and Complexity 36:5, pages 2026-2045.
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Muneer Shaik & Lakshmi Padmakumari. (2022) Value-at-risk (VAR) estimation and backtesting during COVID-19: Empirical analysis based on BRICS and US stock markets. Investment Management and Financial Innovations 19:1, pages 51-63.
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Faith Wacuka Ng’ang’a & Meleah Oleche. (2022) Modelling and Forecasting of Crude Oil Price Volatility Comparative Analysis of Volatility Models. Journal of Financial Risk Management 11:01, pages 154-187.
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Peterson Owusu Junior, Imhotep Paul Alagidede & Aviral Kumar Tiwari. (2021) On the Elicitability and Risk Model Comparison of Emerging Markets Equities. Mathematical and Computational Applications 26:3, pages 63.
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Italo Arbulú, Maria Razumova, Javier Rey-Maquieira & Francesc Sastre. (2021) Can domestic tourism relieve the COVID-19 tourist industry crisis? The case of Spain. Journal of Destination Marketing & Management 20, pages 100568.
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Dorota Żebrowska-Suchodolska. (2019) THE RISK OF THE POLISH EQUITY FUNDS IN THE YEARS 2004-2018 DETERMINED USING THE VAR AND CVAR MEASURES. Metody Ilościowe w Badaniach Ekonomicznych 20:1, pages 72-82.
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Yu Chen, Zhicheng Wang & Zhengjun Zhang. (2019) Mark to market value at risk. Journal of Econometrics 208:1, pages 299-321.
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Mohamed Nidhal Mosbahi, Mohamed Saidane & Sarra Messabeb. (2017) Mixture Of Probabilistic Factor Analyzers For Market Risk Measurement: Empirical Evidence From The Tunisian Foreign Exchange Market. Risk Governance and Control: Financial Markets and Institutions 7:2, pages 158-169.
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