VALUE AT RISK ESTIMATION USING EXTREME VALUE THEORY APPROACH IN INDONESIA STOCK EXCHANGE
Extreme Value Theory (EVT) is a method used to identify extreme cases in heavy tail data such as financial time series data. This research aimed to obtain an estimate of stock risk through the EVT approach and compare the accuracy of the two EVT approaches, Block Maxima (BM) and Peaks Over Threshold...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universitas Pattimura
2024-05-01
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| Series: | Barekeng |
| Subjects: | |
| Online Access: | https://ojs3.unpatti.ac.id/index.php/barekeng/article/view/10373 |
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