Modelling extreme risk of the financial index (J580) using the general Pareto distribution
Orientation: In light of the global financial instabilities, investors and risk analysts need extreme risk management tools to help them accurately monitor and reduce market exposure in an investment portfolio. Research purpose: The main aim of the study was to apply extreme value theory results to...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AOSIS
2019-05-01
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| Series: | Journal of Economic and Financial Sciences |
| Subjects: | |
| Online Access: | https://jefjournal.org.za/index.php/jef/article/view/407 |