Exchangeability, extreme returns and Value-at-Risk forecasts

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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...

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Bibliographic Details
Main Authors:	Huang, Chun-Kai, North, D., Zewotir, T.
Format:	Journal Article
Published:	Elsevier BV * North-Holland 2017
Online Access:	http://hdl.handle.net/20.500.11937/67319

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