Zhao, Xin; Scarrott, Carl John; Reale, Marco; Oxley, Les - Department of Economics and Finance, College of … - 2009
A new extreme value mixture modelling approach for estimating Value-at-Risk (VaR) is proposed, overcoming the key issues of determining the threshold which defines the distribution tail and accounts for uncertainty due to threshold choice. A two-stage approach is adopted: volatility estimation...