Imed Gammoudi

University of Sousse

rue Abdelaziz el Behi

Sousse, Sousse 4000

Tunisia

  • University of Sousse

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Scholarly Papers (1)

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Value at Risk Estimation for Heavy Tailed Distributions

Downloads 181 (302,861)

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125, 2014
Number of pages: 17 Posted: 13 Dec 2014
Imed Gammoudi, Lotfi Belkacem and Mohamed El Ghourabi
University of Sousse, University of Sousse and University of Tunis, Larodec
Downloads 73 (593,196)

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125
Number of pages: 17 Posted: 11 Dec 2014
Imed Gammoudi, Lotfi Belkacem and Mohamed El Ghourabi
University of Sousse, University of Sousse and University of Tunis, Larodec
Downloads 57 (677,198)

Abstract:

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index

Value at Risk Estimation for Heavy Tailed Distributions

The International Journal of Business and Finance Research, v. 8 (3) p. 109-125, 2014
Number of pages: 17 Posted: 12 Dec 2014
Imed Gammoudi, Lotfi BelKacem and Mohamed El Ghourabi
University of Sousse, University of Sousse - Laboratory Research for Economy, Management and Quantitative Finance (LaREMFiQ) and University of Tunis, Larodec
Downloads 51 (714,029)

Abstract:

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Risk Management, Extreme Value Theory, Non-linear Models, Backtesting, Stock Market Index