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A Comparison of the extreme value theory and Garch models in terms of risk measures

A Comparison of the extreme value theory and Garch models in terms of risk measures
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Tag12Value
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005  20190104120322.0
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040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
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100  ‎$0‎MAPA20190000192‎$a‎Nevruz, Ezgi
24512‎$a‎A Comparison of the extreme value theory and Garch models in terms of risk measures‎$c‎Ezgi Nevruz, Sule Sahin
520  ‎$a‎In this paper, we apply extreme value theory (EVT) and time series models to eight developed and emerging stock markets published in the Morgan Stanley Capital International (MSCI) Index. Based on the Human Development Index (HDI) rankings, which are consistent with the MSCI index, we analyse Singapore, Spain, UK and US for developed stock markets and Chile, Russia, Malaysia and Turkey for emerging stock markets. We use the daily prices (in USD) of eight countries for the period from January 2014 to December 2017 and examine the performances of the models based on in-sample testing. Calculating the value-at-risk (VaR) as a risk measure for both right and left tails of the log-returns of the selected models, we compare these countries in terms of their financial risks. The obtained risk measures enable us to discuss the grouping and the ranking of the stock markets and their relative positions
650 4‎$0‎MAPA20080592011‎$a‎Modelos actuariales
650 4‎$0‎MAPA20080591182‎$a‎Gerencia de riesgos
650 4‎$0‎MAPA20080582418‎$a‎Riesgo financiero
650 4‎$0‎MAPA20080591922‎$a‎Mercados emergentes
650 4‎$0‎MAPA20080545185‎$a‎Ranking
650 4‎$0‎MAPA20080591977‎$a‎Métodos de medición
650 4‎$0‎MAPA20080615611‎$a‎Teoría del valor extremo
651 1‎$0‎MAPA20170009108‎$a‎Singapur
651 1‎$0‎MAPA20080637736‎$a‎España
651 1‎$0‎MAPA20080638290‎$a‎Reino Unido
651 1‎$0‎MAPA20080638337‎$a‎Estados Unidos
651 1‎$0‎MAPA20080637644‎$a‎Chile
651 1‎$0‎MAPA20080658861‎$a‎Rusia
651 1‎$0‎MAPA20080658052‎$a‎Malasia
651 1‎$0‎MAPA20080637972‎$a‎Turquía
7001 ‎$0‎MAPA20160009699‎$a‎Sahin, Sule
7730 ‎$w‎MAP20070000012‎$t‎Anales del Instituto de Actuarios Españoles : Colegio Profesional‎$d‎Madrid : Instituto de Actuarios Españoles, 1943-‎$g‎30/11/2018 Número 24 - Epoca 4ª, Año 2018 , p. 149-170
856  ‎$q‎application/pdf‎$w‎1099788‎$y‎Recurso electrónico / Electronic resource
856  ‎$q‎image/jpeg‎$w‎1099789‎$y‎Portada