A conditional extreme value theory approach in value-at-risk forecasting: Evidence from Southeastern Europe and USA market
As a consequence of the recent financial crisis, the adequacy of different Value-at-Risk (VaR) methodologies was heavily questioned. Current practice in VaR assessment relies on modeling the whole distribution of returns. As an alternative, in this paper we model tail behavior of returns, and thus V...
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| Format: | Article |
| Language: | English |
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Economics institute, Belgrade
2015-01-01
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| Series: | Industrija |
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| Online Access: | http://scindeks-clanci.ceon.rs/data/pdf/0350-0373/2015/0350-03731504007T.pdf |