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

Categoría del artículo: Economic and Business Systems Research Articles

Publicado en línea: 09 may 2015

Páginas: 36 - 55

Recibido: 10 may 2014

Aceptado: 31 oct 2014

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

Palabras clave

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.