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Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation

Ghlamreza Keshavarz-Haddad; Mohammad Amin Zabol

Volume 20, Issue 77 , July 2020, , Pages 1-28

https://doi.org/10.22054/joer.2020.12076

Abstract
  In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH, ...  Read More