Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17
results of the study showed that in the estimation of model parameters, assuming T-student distribution function gave better … Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the … volatility-clustering feature, and to estimate the parameters of the model, the Maximum Likelihood method was applied. The …