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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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Assessing the performance of generalized autoregressive conditional heteroskedasticity-based value-at-risk models : a case of frontier markets
Vee, Dany Ng Cheong
;
Gonpot, Preethee Nunkoo
;
Sookia, Noor
- In:
The journal of risk model validation
6
(
2012
)
4
,
pp. 95-111
Persistent link: https://www.econbiz.de/10009692959
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