Evaluation of the Value-at-Risk Estimation Methods with applying a Penalty for Risk Overestimation
In this paper, Value at Risk for Gold prices Is estimated by the Extreme Value theory and parametric method with Normal and t-student distribution for disturbance term in the mean equation together with a range of the conditional variances estimation techniques including, GARCH (1.1), TGARCH, EGARCH...
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
Allameh Tabataba'i University Press
2020-06-01
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| Series: | Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī |
| Subjects: | |
| Online Access: | https://joer.atu.ac.ir/article_12076_386c25b97560bfc97c9de66c2ea5a8fa.pdf |