The Financial Risk Measurement EVaR Based on DTARCH Models
The value at risk based on expectile (EVaR) is a very useful method to measure financial risk, especially in measuring extreme financial risk. The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a valuable tool in assessing the volatility of a financial asset’s return....
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-08-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/25/8/1204 |