Measuring market risk using extreme value theory
Year of publication: |
2009
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Authors: | Suaiso, Jose Oliver Q. ; Mapa, Dennis S. |
Published in: |
The Philippine review of economics : a joint publication of the University of the Philippines, School of Economics and the Philippine Economic Society. - Quezon City, ISSN 1655-1516, ZDB-ID 2044224-5. - Vol. 46.2009, 2, p. 91-121
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Subject: | Marktrisiko | Market risk | Messung | Measurement | Ausreißer | Outliers | ARCH-Modell | ARCH model | VAR-Modell | VAR model |
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