Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Year of publication: |
2023
|
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Authors: | Khan, Maaz ; Khan, Mrestyal ; Irfan, Muhammad |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 16.2022/2023, 2, p. 189-199
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Subject: | Value-at-Risk | extreme value theory | GARCH | metal market | ARCH-Modell | ARCH model | Risikomaß | Risk measure | Metallmarkt | Metal market | Ausreißer | Outliers | Aktienindex | Stock index | Risikomanagement | Risk management |
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