Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models
This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive Condition...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-05-01
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| Series: | Administrative Sciences |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2076-3387/9/2/40 |