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  • Search: subject:"Extreme value theory model"
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Extreme value theory model 1 GARCH model 1 Parametric model 1 Risk management 1 Value at risk 1
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Abad, Pilar 1 Benito, Sonia 1
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Mathematics and Computers in Simulation (MATCOM) 1
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A detailed comparison of value at risk estimates
Abad, Pilar; Benito, Sonia - In: Mathematics and Computers in Simulation (MATCOM) 94 (2013) C, pp. 258-276
This work investigates the performance of different models of value at risk. We include several methods (parametric, historical simulation, Monte Carlo, and extreme value theory) and some models to compute the conditional variance. We analyze several international stock indexes and examine two...
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