Showing 1 - 10 of 203
In this study, we compare the out-of-sample forecasting performance of several modern Value-at- Risk (VaR) estimators derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and currency market data, we analyse the accuracy of the...
Persistent link: https://www.econbiz.de/10011587888
Persistent link: https://www.econbiz.de/10011982607
Persistent link: https://www.econbiz.de/10011978140
Persistent link: https://www.econbiz.de/10008904641
Persistent link: https://www.econbiz.de/10003987208
Persistent link: https://www.econbiz.de/10009007135
Persistent link: https://www.econbiz.de/10009559091
Persistent link: https://www.econbiz.de/10009522416
Persistent link: https://www.econbiz.de/10009487706
Persistent link: https://www.econbiz.de/10010519853