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Old-fashioned parametric models are still the best : a comparison of Value-at-Risk approaches in several volatility states
Buczyński, Mateusz; Chlebus, Marcin - Uniwersytet Warszawski / Wydział Nauk Ekonomicznych - 2019
Persistent link: https://www.econbiz.de/10012041611
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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions
Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85
The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...
Persistent link: https://www.econbiz.de/10012302139
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Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz; Chlebus, Marcin - In: The journal of risk model validation 14 (2020) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10014335934