Measurement of Risk Based on QR-GARCH-EVT Model

Pubblicato online: 20 ago 2020

Pagine: 473 - 482

Ricevuto: 28 nov 2019

Accettato: 01 feb 2020

DOI: https://doi.org/10.2478/amns.2020.2.00025

Parole chiave

Value at Risk, QR-GARACH, EVT

© 2020 Jun Duan et al., published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.