Value at Risk and expected shortfall of firms in the main European Union stock market indexes: A detailed analysis by economic sectors and geographical situation

Economic Modelling

Volumn 50, Issue , 2015, Pages 1-8

  Iglesias, Emma M ^a  

^a Campus Elvina S n   (Spain)

Author keywords

Eurozone; Extreme value theory; GARCH type models; Heavy tails; Pareto tail thickness parameter; Stock indexes; Value at Risk

Indexed keywords

EID: 84935020790     PISSN: 02649993     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econmod.2015.06.004     Document Type: Article

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