Empirical analysis of VaR and CVaR by the utilization of GARCH models and extreme value theory : evidence from Malaysian stock market /

Empirical analysis of VaR and CVaR by the utilization of GARCH models and extreme value theory : evidence from Malaysian stock market /

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Bibliographic Details
Main Author: Mohamed, Mohamed Amraja (Author)
Format: Thesis Book
Language:English
Subjects:
Universiti Kebangsaan Malaysia > Dissertations.
Dissertations, Academic > Malaysia.
Financial risk management > Simulation methods.
Finance > Mathematical models.
GARCH model.
Mathematical statistics.
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Description
Item Description:Cd yang disertakan adalah duplikasi kepada tesis bercetak dan tidak boleh dirujuk/dipinjam.
Physical Description:xvii, 283 pages : illustrations ; 30 cm.
Bibliography:References : page [220]-236.

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