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

Catégorie d'article: Economic and Business Systems Research Articles

Publié en ligne: 09 mai 2015

Pages: 36 - 55

Reçu: 10 mai 2014

Accepté: 31 oct. 2014

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

Mots clés

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.