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Forecasting Value-at-Risk with a duration-based POT method

✍ Scribed by Araújo Santos, P.; Fraga Alves, M.I.

Book ID
122842747
Publisher
Elsevier Science
Year
2013
Tongue
English
Weight
679 KB
Volume
94
Category
Article
ISSN
0378-4754

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## Abstract Accurate modelling of volatility (or risk) is important in finance, particularly as it relates to the modelling and forecasting of value‐at‐risk (VaR) thresholds. As financial applications typically deal with a portfolio of assets and risk, there are several multivariate GARCH models wh