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Sampid et al., 2021 - Google Patents

Forecasting robust value-at-risk estimates: evidence from UK banks

Sampid et al., 2021

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Document ID
12159932594427382766
Author
Sampid M
Hasim H
Publication year
Publication venue
Quantitative Finance

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Snippet

In this paper, we present a novel approach for forecasting Value-at-Risk (VaR) by combining a Bayesian GARCH (1, 1) model with Student's-t distribution for the underlying volatility models, vine copula functions to model dependence, and the peaks-over-threshold (POT) …
Continue reading at repository.essex.ac.uk (PDF) (other versions)

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