Value at risk using GARCH volatility models augmented with extreme value theory
Year of publication: |
2014
|
---|---|
Authors: | Dicks, A. ; Conradie, W. J. ; De Wet, Tertius |
Published in: |
Tydskrif vir studies in ekonomie en ekonometrie : SEE. - Stellenbosch, ISSN 0379-6205, ZDB-ID 863779-9. - Vol. 38.2014, 3, p. 1-18
|
Subject: | Theorie | Theory | Risikomaß | Risk measure | Volatilität | Volatility | ARCH-Modell | ARCH model | Ausreißer | Outliers | Börsenkurs | Share price |
-
Makatjane, Katleho, (2021)
-
GARCH models, tail indexes and error distributions : an empirical investigation
Šopov, Boril, (2015)
-
GARCH models, tail indexes and error distributions : an empirical investigation
Horváth, Roman, (2016)
- More ...
-
'n Ondersoek na die eindige steekproefgedrag van inferensiemetodes in ekstreemwaarde-teorie
Van Deventer, Dewald, (2005)
-
Aspects of copulas and goodness-of-fit
Kpanzou, Tchilabalo Abozou, (2008)
-
Statistical inference for inequality measures based on semi-parametric estimators
Kpanzou, Tchilabalo Abozou Jr, (2011)
- More ...