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

Kategoria artykułu: Economic and Business Systems Research Articles

Data publikacji: 09 maj 2015

Zakres stron: 36 - 55

Otrzymano: 10 maj 2014

Przyjęty: 31 paź 2014

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

Słowa kluczowe

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.