Revisiting the accuracy of standard VaR methods for risk assessment : using the Copula-EVT multidimensional approach for stock markets in the MENA region
Ali Chebbi, Amel Hedhli
| Year of publication: |
2022
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| Authors: | Chebbi, Ali ; Hedhli, Amel |
| Published in: |
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9769, ZDB-ID 1114217-0. - Vol. 84.2022, p. 430-445
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| Subject: | Backtesting | Extreme value theory | MENA markets | Stock indices | Value-at-risk | Vine copula | Violation ratio | Risikomaß | Risk measure | Aktienmarkt | Stock market | MENA-Staaten | MENA countries | Prognoseverfahren | Forecasting model | Ausreißer | Outliers | Aktienindex | Stock index | Risikomanagement | Risk management | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2020.09.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013335886