The Influences of Book-to-Price Ratio and Stock Capitalization on Value-at-Risk Estimation in Taiwan Stock Market-Reference-Cited by-同舟云学术

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The Influences of Book-to-Price Ratio and Stock Capitalization on Value-at-Risk Estimation in Taiwan Stock Market

Published:2018-10-02 Issue:5 Volume:56 Page:1055-1072
ISSN:1540-496X
Container-title:Emerging Markets Finance and Trade
language:en
Short-container-title:Emerging Markets Finance and Trade

Author:

Wu Tsung-Che¹,Huang Hung-Hsi¹,Wang Ching-Ping²,Zhong Yi-Lin³

Affiliation:

1. Department of Banking and Finance, National Chiayi University, Chiayi City, Taiwan

2. Department of Wealth and Taxation Management, National Kaohsiung University of Applied Sciences, Kaohsiung City, Taiwan

3. Department of Business Administration, National Chiayi University, Chiayi City, Taiwan

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/1540496X.2018.1509790

Reference35 articles.

1. Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis

2. Size and value risk in financial firms

3. Generalized autoregressive conditional heteroskedasticity

4. ARCH modeling in finance

5. Size, value, and momentum in emerging market stock returns

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