A Research Based On POT-CAViaR Model of Extreme Risk Measure
In this paper, the CAViaR model was used to measure the HS300, HSI and N225 risk levels and result showed that CAViaR model was able to measure the sample risk value at the 5% confidence level. However, at the 1% confidence level, the CAViaR model severely underestimated the sample risk value. In or...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2020-08-01
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| Series: | Applied Mathematics and Nonlinear Sciences |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/amns.2020.2.00040 |