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

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