Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets

Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets

<p>The purpose of this work is to extend McNeil and Frey´s (2000) methodology by combining two component GARCH models and extreme value theory to evaluate the performance of the Value at Risk (VaR) and Expected Shortfall (ES) measures in the Latin American stock markets. In-sample analysis, th...

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Bibliographic Details
Main Authors: Raúl de Jesús-Gutiérrez, Roberto J. Santillán-Salgado
Format: Article
Language:English
Published: EconJournals 2019-04-01
Series:International Journal of Economics and Financial Issues
Online Access:https://www.econjournals.com/index.php/ijefi/article/view/7596

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