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

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

Files