Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International Journal of Monetary Economics and Finance 1 (2008) 2, pp. 121-148
This paper conducts a comparative evaluation of the predictive performance of various Value-at-Risk (VaR) models. Special emphasis is paid to two methodologies related to the Extreme Value Theory (EVT): The Peaks Over Threshold (POT) and the Block Maxima (BM). We apply both unconditional and...