Exchangeability, extreme returns and Value-at-Risk forecasts
In this paper, we propose a new approach to extreme value modelling for the forecasting of Value-at-Risk (VaR). In particular, the block maxima and the peaks-over-threshold methods are generalised to exchangeable random sequences. This caters for the dependencies, such as serial autocorrelation, of...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV * North-Holland
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/67319 |