Estimating Value-at-Risk (VaR) using TiVEx-POT Models
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References listed on IDEAS
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- Mudakkar, Syeda Rabab & Uppal, Jamshed Y. & Zaman, Khalid & Naseem, Imran & Shah, Ghias Ud Din, 2013. "Foreign exchange risk in a managed float regime: A case study of Pakistani rupee," Economic Modelling, Elsevier, vol. 35(C), pages 409-417.
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More about this item
KeywordsValue-at-Risk; Extreme Value Theory; Generalized Pareto Distribution; Time-Varying Parameters; Use of Explanatory Variables; GARCH modeling; Peaks-over-Thresholds Model;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-10-23 (All new papers)
- NEP-BAN-2010-10-23 (Banking)
- NEP-ECM-2010-10-23 (Econometrics)
- NEP-RMG-2010-10-23 (Risk Management)
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