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Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
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| Creator |
Fałdziński, Marcin; Nicolaus Copernicus University in Toruń
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| Subject |
Extreme Value Theory, Peaks over Threshold, Value-at-Risk, Expected Shortfall
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| Description |
The main aim of this paper is the presentation and empirical analysis of the new approach which combines volatility models with Peaks over Threshold method that comes from extreme value theory. The new approach is applied for estimation of risk measures (VaR and ES) in financial time series. For the empirical analysis the financial risk model evaluation was conducted. In this paper the POT method was compared with standard volatility models (GARCH and SV) in case of the conditional modeling.
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| Publisher |
Nicolaus Copernicus University
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| Contributor |
—
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| Date |
2009-07-18
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.012
10.12775/DEM.2009.012 |
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| Source |
Dynamic Econometric Models; Vol 9 (2009); 119-128
Dynamic Econometric Models; Vol 9 (2009); 119-128 2450-7067 1234-3862 |
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| Language |
eng
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| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2009.012/4045
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