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The effect of extreme value distributions on market risk estimation
Donovan Beytell
MCom, University of Johannesburg
2016
Handle:
https://hdl.handle.net/10210/215607
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Abstract
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Abstract
Risk management - South Africa
GARCH model
Stock exchanges - South Africa
Please refer to full text to view abstract M.Com. (Financial Economics)
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The effect of extreme value distributions on market risk estimation
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Title
The effect of extreme value distributions on market risk estimation
Creators - without role
Donovan Beytell
Contributors - without role
John Muteba Mwamba
Awarding Institution
University of Johannesburg; MCom
Theses and Dissertations
MCom, University of Johannesburg
Identifiers
9910313207691
Copyright
University of Johannesburg
Academic Unit
Department of Economic and Econometrics
Resource Type
Thesis
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The effect of extreme value distributions on market risk estimation