A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
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- Krzysztof DRACHAL, 2017. "Volatility Clustering, Leverage Effects and Risk-Return Tradeoff in the Selected Stock Markets in the CEE Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 37-53, September.
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Keywordsextreme value theory; Value at Risk; fat tails; GARCH; RiskMetrics; peak over threshold; generalized Pareto distribution;
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