Extreme value modelling for forecasting market crisis impacts

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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...

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Bibliographic Details
Main Authors:	Zhao, X., Scarrott, C., Oxley, Leslie, Reale, M.
Format:	Journal Article
Published:	Routledge 2010
Online Access:	http://hdl.handle.net/20.500.11937/39586

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