Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance

By Stelios D. Bekiros, Dimitris A. Georgoutsos. 2005

82 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/94a6c38e28fd7f11e28bd3ba3086f058383047e8

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Pilar Abad
2. Carmen López
3. Sonia Benito

In Finance

1. Pilar Abad
2. Carmen López
3. Sonia Benito

Citations in the corpus

• A comprehensive review of Value at Risk methodologies (2014, methodology): “Bekiros and Georgoutsos (2005) conducted a comparative evaluation of the predictive performance of various VaR models, with a special emphasis on two methodologies related to the EVT, POT and BM.”