Narrow search
Showing 1 - 3 of 3
Cover Image
Forecasting gains by using extreme value theory with realised GARCH filter
Paul, Samit; Sharma, Prateek - In: IIMB management review 33 (2021) 1, pp. 64-70
Persistent link: https://www.econbiz.de/10013205188
Cover Image
Improved VaR forecasts using extreme value theory with the Realized GARCH model
Paul, Samit; Sharma, Prateek - In: Studies in economics and finance 34 (2017) 2, pp. 238-259
Persistent link: https://www.econbiz.de/10011822635
Cover Image
Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490
Persistent link: https://www.econbiz.de/10014634250