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In this study, different value at risk models (VaR), which are used to measure downside investment risk, have been analyzed under different methods and stylized facts of financial time series. Downside investment risk of a single asset and of a hypothetical portfolio have first been measured by conventional VaR models (Parametrical VaR, Historical VaR, Historical Simulation VaR and Monte Carlo Simulation...
In this study, we analyze the effects of internal political risk on the Turkish stock market in the period of 2001–2014. Empirical analyses are conducted through various methods to obtain breaks and regimes in the return volatilities of the BIST100 index. According to the results, while the number of breaks has increased in recent years, the risk level of recent periods is significantly lower than...
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