Extreme Value Theory and Value at Risk : Application to Oil Market
Year of publication: |
2006
|
---|---|
Authors: | Marimoutou, VĂȘlayoudom ; Raggad, Bechir ; Trabelsi, Abdelwahed |
Institutions: | HAL |
Subject: | Extreme Value Theory | Value at Risk | oil price volatility | GARCH | Historical Simulation | Filtered Historical Simulation |
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