Estimation of value-at-risk measures in the Islamic stock market : approach based on Extreme Value Theory (EVT)
Haïfa Frad, Ezzeddine Zouari
| Year of publication: |
2014
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|---|---|
| Authors: | Frad, Haïfa ; Zouari, Ezzeddine |
| Published in: |
Journal of world economic research. - New York, NY : Science Publishing Group, ISSN 2328-773X, ZDB-ID 2780974-2. - Vol. 3.2014, 2, p. 15-20
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| Subject: | Extreme Value Theory (EVT) | Value-at-Risk (VaR) | Peak over Threshold Method (POT) | Expected Shortfall (ES) | Risikomaß | Risk measure | Ausreißer | Outliers | ARCH-Modell | ARCH model | Theorie | Theory | Risikomanagement | Risk management | Schätzung | Estimation |