Sökning: "Christoffer Titov"
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1. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis aims to investigate the accuracy of Value-at-Risk and Expected Shortfall forecasts of various GARCH-type models based on five currency exchange rate pairs. The GARCH models are employed under different conditional distributional assumptions, and extended using the two-stage Extreme Value Theory (EVT) approach of McNeil and Frey (2000). LÄS MER
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