Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146740
Authors: 
Radivojevic, Nicola
Cvjetkovic, Milena
Stepanov, Saša
Year of Publication: 
2016
Citation: 
[Journal:] Estudios de Economía [ISSN:] 0718-5286 [Volume:] 43 [Year:] 2016 [Issue:] 1 [Pages:] 29-52
Abstract: 
In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is designed to capture the empirical features of returns with emerging markets, such as leptokurtosis, asymmetry, autocorrelation and heteroscedasticity.
Subjects: 
Value at Risk
Extreme Value Theory
Expected Shortfall
Emerging Markets
Market Risk
JEL: 
G24
C22
C52
C53
Document Type: 
Article

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