Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Maaz Khan, Mrestyal Khan, Muhammad Irfan
| Year of publication: |
2023
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| Authors: | Khan, Maaz ; Khan, Mrestyal ; Irfan, Muhammad |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 2, p. 189-199
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| Subject: | Value-at-Risk | extreme value theory | GARCH | metal market | Risikomaß | Risk measure | ARCH-Modell | ARCH model | Metallmarkt | Metal market | Schätzung | Estimation | Schätztheorie | Estimation theory | Ausreißer | Outliers | Risikomanagement | Risk management | Warenbörse | Commodity exchange | Volatilität | Volatility | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014286674