How Extreme Value Theory (EVT) can be used to estimate Value-at-Risk (VaR) using historical data on log-returns

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How Extreme Value Theory (EVT) can be used to estimate Value-at-Risk (VaR) using historical data on log-returns Yt.

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Stats Data and Models

ISBN: 978-0321986498

4th edition

Authors: Richard D. De Veaux, Paul D. Velleman, David E. Bock

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Posted Date: May 24, 2020 05:14 AM

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How Extreme Value Theory (EVT) can be used to estimate Value-at-Risk (VaR) using historical data on log-returns

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Market hazard is a prevailing wellspring of pay changes in horticulture everywhere throughout the world This calls for markers indicating the hazard introduction of ranches and the impact of hazard de... View the full answer

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