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statistically significant difference in their performance. The top performers are conditional extreme value GARCH model, models …
Persistent link: https://www.econbiz.de/10010586077
We introduce a new hybrid approach to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. We investigate the relative performance of VaR and ES models using daily returns for sixteen stock market indices (eight from developed and eight...
Persistent link: https://www.econbiz.de/10008572519