کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
987053 1480897 2013 7 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Estimation of tail-related risk measures in the Indian stock market: An extreme value approach
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Estimation of tail-related risk measures in the Indian stock market: An extreme value approach
چکیده انگلیسی

The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall (ES). The dynamic risk measures have been estimated for different percentiles for negative and positive returns. The estimates of risk measures computed under different quantile levels exhibit strong stability across a range of the selected thresholds, implying the accuracy and reliability of the estimated quantile based risk measures.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 22, Issue 3, September 2013, Pages 79–85
نویسندگان
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