Estimation of the value-at-risk parameter: Econometric analysis and the extreme value theory approach

Estimation of the value-at-risk parameter: Econometric analysis and the extreme value theory approach

In this paper different aspects of value-at-risk estimation are considered. Daily returns of CISCO, INTEL and NASDAQ stock indices are analyzed for period: September 1996 - September 2006. Methods that incorporate time varying variability and heavy tails of the empirical distributions of returns are...

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Bibliographic Details
Main Authors: Mladenović Zorica, Mladenović Pavle
Format: Article
Language:English
Published: Faculty of Economics, Belgrade 2006-01-01
Series:Ekonomski Anali
Subjects:
value-at-risk
conditional variability
GARCH models
extreme values
heavy tailed distributions
Online Access:http://www.doiserbia.nb.rs/img/doi/0013-3264/2006/0013-32640671032M.pdf

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http://www.doiserbia.nb.rs/img/doi/0013-3264/2006/0013-32640671032M.pdf

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