Blar i NTNU Open på forfatter "Malik, Abdul Ghaffar Rehman"
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Estimation and Comparison of "Value atRisk" of crude oil prices using HistoricalSimulation, GARCH and GPD methods
Malik, Abdul Ghaffar Rehman (Master thesis, 2017)My results indicate that conditional Extreme Value Theory and Filtered Historical Simulation procedures offer a major improvement over the traditional methods (non-parametric and parametric). Such models produce a VaR which ...