Browsing by Author "Scarrott, Carl"

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  • Extreme value modelling for forecasting market crisis impacts

    Zhao, Xin; Scarrott, Carl; Oxley, Les; Reale, Marco (Taylor and Francis, 2010)
    This article introduces a new approach for estimating Value at Risk (VaR), which is then used to show the likelihood of the impacts of the current financial crisis. A commonly used two-stage approach is taken, by combining ...

Carl Scarrott has 3 co-authors in Research Commons.