Extreme value modelling for forecasting market crisis impacts
This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining a Generalized Autoregressive Conditional Heteroscedasticity (GARCH) volatilit...
| Main Authors: | , , , |
|---|---|
| Format: | Journal Article |
| Published: |
Routledge
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/39586 |