The Effect of the Pandemic and the War in Ukraine on the Riskiness of Financial Investments in Three Central European Countries

被引：1

作者：

Tran, Quang Van ^{[1
,3
]}

Malek, Jiri ^{[2
]}

机构：

[1] Prague Univ Econ & Business, Dept Monetary Theory & Policy, Prague, Czech Republic

[2] Prague Univ Econ & Business, Dept Banking & Insurance, Prague, Czech Republic

[3] Prague Univ Econ & Business, Dept Monetary Theory & Policy, Nam W Churchilla 4, Prague 3, Czech Republic

来源：

EASTERN EUROPEAN ECONOMICS | 2024年 / 62卷 / 04期

关键词：

Central European countries; COVID pandemic; GARCH model; VaR and CVaR; war in Ukraine; C13; C46; G32; GARCH MODELS; VOLATILITY; RISK;

D O I：

10.1080/00128775.2023.2278809

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The COVID pandemic and the war in Ukraine are extraordinary events causing excessive turbulence in financial markets. Considering the leptokurtic and heteroscedastic properties of returns on financial assets, we examine the suitability of several alternatives for modeling returns to choose the most suitable option to compute the VaR and CVaR for returns of three stock market indices as well as euro exchange rates in Czechia, Poland, and Hungary. Using an appropriate test, we evaluate how the two metrics of VaR and CVaR changed during the pandemic and the war in Ukraine up to June 2022.

引用

页码：409 / 428

页数：20

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