Extreme value theory in emerging markets: Evidence from the Montenegrin stock exchange
The concept of Value at Risk(VaR) estimates the maximum loss of a financial position at a given time for a given probability. This paper considers the adequacy of the methods that are the basis of extreme value theory in the Montenegrin emerging market before and during the global financial...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Faculty of Economics, Belgrade
2015-01-01
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| Series: | Ekonomski Anali |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/0013-3264/2015/0013-32641506087C.pdf |