Sökning: "Christoffer Titov"

Hittade 1 uppsats innehållade orden Christoffer Titov.

  1. 1. Forecasting Exchange Rate Value-at-Risk and Expected Shortfall: A GARCH-EVT Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Christoffer Titov; [2022]
    Nyckelord :GARCH; Extreme Value Theory; Value-at-Risk; Expected Shortfall; Exchange Rate Volatility; Business and Economics;

    Sammanfattning : 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