Berger, T.; Missong, M. - In: International Review of Financial Analysis 33 (2014) C, pp. 33-38
Forecasting Value-at-Risk (VaR) for financial portfolios is a crucial task in applied financial risk management. In this paper, we compare VaR forecasts based on different models for return interdependencies: volatility spillover (Engle & Kroner, 1995), dynamic conditional correlations (Engle,...