Mwamba, John W. Muteba; Hammoudeh, Shawkat; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2014
This paper makes use of two types of extreme value distributions, namely: the generalised extreme value distribution often referred to as the block of maxima method (BMM), and the peak-over-threshold method (POT) of the extreme value distributions, to model the financial tail risks associated...