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Global financial crisis and VaR performance in emerging markets: A case of EU candidate states - Turkey and Croatia

Zikovic, S.; Aktan, B. (UNIV RIJEKA, FAC ECOMOMICS, 2009)

We investigate the relative performance of a wide array of Value at Risk (VaR) models with the daily returns of Turkish (XU100) and Croatian (CROBEX) stock index prior to and during the ongoing financial crisis. In addition ...