The macroeconomic determinants of Value at Risk of eurozone stock markets

• Main Author: Στάικος, Φίλιππος
• Other Authors: Δράκος, Κωνσταντίνος
• Format: Thesis
• Language: English
• Published: 2018
• Subjects: Value at Risk; Macroeconomic factors; Eurozone; Αξία σε Κίνδυνο; Μακροοικονομικοί παράγοντες; Ευρωζώνη; 332.414

This study examines the relationship between Value at Risk and macroeconomic factors. We apply fixed effects estimator in quarterly panel data for the Eurozone stock market indices for 1997 to 2016 period. Value at Risk was estimated with the methods of Historical Simulation and parametric Normal Di...