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Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions Cover

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Central European Economic Journal
Volume 6 (2019): Issue 53 (January 2019)
By: Filip Szubzda and  Marcin Chlebus  
Open Access
|Mar 2020

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DOI: https://doi.org/10.2478/ceej-2019-0005 | Journal eISSN: 2543-6821 | Journal ISSN: 2544-9001
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Language: English
Page range: 70 - 85
Published on: Mar 13, 2020
Published by: Faculty of Economic Sciences, University of Warsaw
In partnership with: Paradigm Publishing Services
Publication frequency: 1 issue per year
Keywords:
Value-at-Risk,
extreme value theory,
forecasting,
market risk
Related subjects:
Business and economics,
Political economics,
Economic theory, systems and structures,
Microeconomics,
Macroeconomics,
Economic policy

© 2020 Filip Szubzda, Marcin Chlebus, published by Faculty of Economic Sciences, University of Warsaw
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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