Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17
This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive...
