Browsing OSU - Electronic Theses and Dissertations by Subject "value-at-risk"
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Model Selection for Value-at-risk: Univariate and Multivariate Approaches
(Oklahoma State University, 2005-12-01)This thesis sought to determine the best among various models in estimating VaR. Models were evaluated in terms of both accurate probabilities of extreme events and lack of correlation among exceptions. In DJIA index ...