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Ranking of Parametric Value at Risk Models with Consideration of Trader Position (Application of Asymmetric Distribution Functions in GARCH Models)

Hadi Heidari; GholamReza K. Haddad

Volume 17, Issue 66 , October 2017, , Pages 151-178

https://doi.org/10.22054/joer.2017.8205

Abstract
  In this paper, we estimate the value at risk of Tehran stock exchange (TSE) index by using GARCH family models in short and long trading positions. Because of asymmetric behavior of returns for long and short positions in TSE, for enhanced accuracy of model, we apply asymmetric normal and t-student distribution ...  Read More