Browsing by Keywords "Financial risk management"
Now showing items 1-2 of 2
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Extreme value theory and Value-at-Risk: relative performance in emerging markets
(Elsevier BV, 2004)In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as ... -
High volatility, thick tails and extreme value theory in value-at-risk estimation
(Elsevier BV, 2003)In this paper, the performance of the extreme value theory in value-at-risk calculations is compared to the performances of other well-known modeling techniques, such as GARCH, variance-covariance (Var-Cov) method and ...