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International Journal of Economics & Management Sciences

ISSN: 2162-6359

Open Access

Arshad Hassan

Professor of Finance at Faculty of Management & Social Sciences, Capital University of Science & Technology, Islamabad, Pakistan

Publications
  • Research Article   
    Evaluation of Risk Modelling in Emerging Equity Markets through the Lens of Extreme Value Theory
    Author(s): Zarmina Ali Khan* and Arshad Hassan

    Purpose: This study analyse the asymptotic behavior of the tails of the return distributions in emerging markets through the lens of extreme value theory. It estimates and compares efficacy of the EVT based value at risk in emerging markets like Brazil(Bo Vespa), Russia(MOEX), India(Nifty 50), Bahrain(Share BAX), China(Shanghai), Colombia(COLCAP), Malaysia(FTSE), Thailand(SET INDEX), Argentina(Marvel), Bangladesh(Dhaka Stock Exchange), Pakistan(KSE 100) and Sri Lanka(CSE)) by using daily data for the period 2000-2018. Methodology: The study employs block maxima model (BMM) based on generalized extreme value distribution (GEV) and peak over threshold model (POTM) based on generalized Pareto distribution (GPD). Peak over threshold model is applied under the assumption of unconditional and conditional volatility. Use of condit.. Read More»
    DOI: 10.37421/ 2162-6359.2022.11.629

    Abstract HTML PDF

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Citations: 6244

International Journal of Economics & Management Sciences received 6244 citations as per Google Scholar report

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