Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator
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More about this item
Keywords
Extreme value volatility estimator; Value-at-risk; Skewed Student t distribution; Risk management.;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-03-17 (Econometrics)
- NEP-FOR-2016-03-17 (Forecasting)
- NEP-ORE-2016-03-17 (Operations Research)
- NEP-RMG-2016-03-17 (Risk Management)
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