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Keywords = Extreme Value Theory
Number of Articles: 2
Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation
Volume 20, Issue 77 , July 2020, , Pages 1-28
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 MoreEstimation of Optimal Investment Portfolio Using Value at Risk (VaR) and Expected Shortfall (ES) Models: GARCH-EVT-Copula Approach
Volume 18, Issue 71 , January 2019, , Pages 91-125