مرکز منطقه ای اطلاع رساني علوم و فناوري - Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance

Title of article :

Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance

Author/Authors :

Stelios D. Bekiros، نويسنده , , Dimitris A. Georgoutsos، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

209

To page :

228

Keywords :

Value-at-Risk , Extreme value theory , Backtesting

Journal title :

Journal of International Financial Markets, Institutions and Money

Serial Year :

2005

Journal title :

Journal of International Financial Markets, Institutions and Money

Record number :

189724

Link To Document :