A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro

Artikel-Kategorie: Economic and Business Systems Research Articles

Online veröffentlicht: 09. Mai 2015

Seitenbereich: 36 - 55

Eingereicht: 10. Mai 2014

Akzeptiert: 31. Okt. 2014

DOI: https://doi.org/10.1515/bsrj-2015-0003

Schlüsselwörter

extreme value theory, Value at Risk, fat tails, GARCH, RiskMetrics, peak over threshold, generalized Pareto distribution

© by Julija Cerović

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 3.0 License.