. 특히 EVT(extreme value theory)를 적용한 모형과 CAViaR(conditional autoregressive value at risk) 모형의 예측성과에 초점을 맞추었다. 실증 분석 결과, 채권 … particular, we focus on the predictive performance of the extreme value theory(EVT) models and the conditional autoregressive … value at risk(CAViaR) models. Our empirical analysis shows that the EVT-GARCH model, which uses the EVT after filtering bond …

(Korean CISS) that involves the aggregation of five sub-indices from the money market, bond market, equity market, financial …