Determining value at risk using extreme value theory on a financial data set

DOI10.37560/MATBIL23471039GJzbMATH Open1546.60099MaRDI QIDQ6599554FDOQ6599554

Authors: Stevo Gjorgiev, Aneta Gacovska-Barandovska 

Publication date: 6 September 2024

Published in: Matematichki Bilten (Search for Journal in Brave)

zbMATH Keywords

extreme value theoryblock maximarisk measuresMacedonian stock exchangeMB10 indexpeak over the threshold method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Extreme value theory; extremal stochastic processes (60G70) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70)

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