Dynamic VaR models and the Peaks over Threshold method for market risk measurement: an empirical investigation during a financial crisis
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Song, Wenjuan & Sun, Lixin, 2014. "The Measurement of the Long-Term and Short-Term Risks of Chinese Listed Banks," MPRA Paper 70007, University Library of Munich, Germany, revised Jul 2014.
- Mesut BALLIBEY & Serpil TÜRKYILMAZ, 2014. "Value-at-Risk Analysis in the Presence of Asymmetry and Long Memory: The Case of Turkish Stock Market," International Journal of Economics and Financial Issues, Econjournals, vol. 4(4), pages 836-848.
More about this item
KeywordsMarket risk; Extreme Value Theory; Peaks over Threshold; Value at Risk; Fat tails;
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