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  • Search: subject:"Volatility Updating"
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Year of publication
Subject
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Extreme Events 1 Hill Estimator 1 Value-at-Risk 1 Volatility Updating 1
Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Guermat, C. 1 Hadri, K. 1 Kucukozmen, C. C. 1
Institution
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Business School, University of Exeter 1
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Discussion Papers / Business School, University of Exeter 1
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RePEc 1
Showing 1 - 1 of 1
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Forecasting Value at Risk in Emerging Arab Stock Markets
Guermat, C.; Hadri, K.; Kucukozmen, C. C. - Business School, University of Exeter - 2003
a given probability level and is very important for risk management. In this paper extreme value theory with volatility … updating is used to forecast Value at Risk in three emerging Arab stock markets and the US stock market. Several forecast …
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