TY  - JOUR
AB  - It is widely accepted that equity return volatility increases more following negative shocks rather than positive shocks. However, much of value‐at‐risk (VaR) analysis relies on the assumption that returns are normally distributed (a symmetric distribution). This article considers the effect of asymmetries on the evaluation and accuracy of VaR by comparing estimates based on various models.
VL  - 4
IS  - 2
SN  - 1526-5943
DO  - 10.1108/eb022959
UR  - https://doi.org/10.1108/eb022959
AU  - BROOKS CHRIS
AU  - PERSAND GITA
PY  - 2003
Y1  - 2003/01/01
TI  - The Effect of Asymmetries on Stock Index Return Value‐at‐Risk Estimates
T2  - The Journal of Risk Finance
PB  - MCB UP Ltd
SP  - 29
EP  - 42
Y2  - 2024/04/18
ER  -