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Keywords: Nonparametric VaR
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Journal Articles
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2023) 40 (1): 175–191.
Published: 04 May 2022
... for estimating future losses in a medium-term period. The Nonparametric VaR confirmed insensitivity to the current exchange rate development. The EVT-based methods showed overconservatism (overestimation predictions). Every parametric or semiparametric method revealed a severe increase of liberality...
