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Journals
Applied Mathematics and Nonlinear Sciences
Volume 5 (2020): Issue 2 (July 2020)
Open Access
Measurement of Risk Based on QR-GARCH-EVT Model
Jun Duan
Jun Duan
and
Baoshuai Zhang
Baoshuai Zhang
| Aug 20, 2020
Applied Mathematics and Nonlinear Sciences
Volume 5 (2020): Issue 2 (July 2020)
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Published Online:
Aug 20, 2020
Page range:
473 - 482
Received:
Nov 28, 2019
Accepted:
Feb 01, 2020
DOI:
https://doi.org/10.2478/amns.2020.2.00025
Keywords
Value at Risk
,
QR-GARACH
,
EVT
© 2020 Jun Duan et al., published by Sciendo
This work is licensed under the Creative Commons Attribution 4.0 International License.
Jun Duan
School of Economics & Management, Chongqing Normal University
China
Baoshuai Zhang
School of Economics & Management, Chongqing Normal University
China