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The impact of estimation frequency on Value at Risk (VaR) and Expected Shortfall (ES) forecasts: an empirical study on conditional extreme value models
This study investigates extreme market events which occur in the tails of a distribution. The extreme events occur with a very low probability, but with significant consequences, which is what makes them of interest. In this study 20 years of data from both the S&P 500 and the JSE All Share index ha...
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| Format: | Thesis |
| Language: | English |
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Department of Statistical Sciences
2021
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