A Comparison of the extreme value theory and Garch models in terms of risk measures
Objetos digitales
| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20190000499 | ||
| 003 | MAP | ||
| 005 | 20190104120322.0 | ||
| 008 | 190104e20181130esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | $0MAPA20190000192$aNevruz, Ezgi | ||
| 245 | 1 | 2 | $aA Comparison of the extreme value theory and Garch models in terms of risk measures$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 | |
| 700 | 1 | $0MAPA20160009699$aSahin, Sule | |
| 773 | 0 | $wMAP20070000012$tAnales del Instituto de Actuarios Españoles : Colegio Profesional$dMadrid : Instituto de Actuarios Españoles, 1943-$g30/11/2018 Número 24 Epoca 4ª época - 2018 , p. 149-170 | |
| 856 | $qapplication/pdf$w1099788$yRecurso electrónico / Electronic resource | ||
| 856 | $qimage/jpeg$w1099789$yPortada |