Work

Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance

Year: 2005

Type: article

Source: Journal of International Financial Markets Institutions and Money

DOI: 10.1016/j.intfin.2004.05.002

Authors: Stelios D. Bekiros, Dimitris A. Georgoutsos

Institution: Athens University of Economics and Business

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

Funders: Research Promotion Foundation, University of Crete

OpenAlex ID: W1996800283

FWCI: 5.106

Cites: 23

Cited by: 72

Related to: 10