Application of Modified POT Method with Volatility Model for Estimation of Risk Measures

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dc.contributor.author Fałdziński, Marcin
dc.date.accessioned 2014-11-07T08:50:45Z
dc.date.available 2014-11-07T08:50:45Z
dc.date.issued 2009-07-18
dc.identifier.citation Dynamic Econometric Models, Vol. 9, pp. 119-128
dc.identifier.issn 1234-3862
dc.identifier.other doi:10.12775/DEM.2009.012
dc.identifier.uri http://repozytorium.umk.pl/handle/item/2236
dc.description.abstract 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.
dc.language.iso eng
dc.rights Attribution-NoDerivs 3.0 Poland
dc.rights info:eu-repo/semantics/openAccess
dc.rights.uri http://creativecommons.org/licenses/by-nd/3.0/pl/
dc.subject Extreme Value Theory
dc.subject Peaks over Threshold
dc.subject Value-at-Risk
dc.subject Expected Shortfall
dc.title Application of Modified POT Method with Volatility Model for Estimation of Risk Measures
dc.type info:eu-repo/semantics/article

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