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Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices
There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best ...
Value at Risk and Expected Shortfall risk measures using Extreme Value Theory
Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume ...