Estimation of Value-at-Risk by extreme value and conventional methods: A comparative evaluation of their predictive performance

Journal of International Financial Markets, Institutions and Money

Volumn 15, Issue 3, 2005, Pages 209-228

  Bekiros, Stelios D ^a   Georgoutsos, Dimitris A ^a  

^a ATHENS UNIVERSITY OF ECONOMICS AND BUSINESS   (Greece)

Author keywords

Backtesting; Extreme Value Theory; Value at Risk

Indexed keywords

EID: 20344377374     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2004.05.002     Document Type: Article

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