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Please use this identifier to cite or link to this item: http://hdl.handle.net/20.500.12188/31471
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dc.contributor.authorStevo Gjorgiev, Aneta Gacovska - Barandovskaen_US
dc.date.accessioned2024-10-03T07:32:31Z-
dc.date.available2024-10-03T07:32:31Z-
dc.date.issued2023-11-28-
dc.identifier.urihttp://hdl.handle.net/20.500.12188/31471-
dc.description.abstractExtreme value theory has a wide range of applications. The paper considers application of extreme value theory in the area of nancial ows. Our data set has been processed using two di erent methods, block maxima and peak over the threshold method. We compare the obtained results for the risk measures and draw conclusions on the behavior of the nancial ows for di erent time intervals.en_US
dc.language.isoenen_US
dc.publisherUnion of Mathematicians of Macedoniaen_US
dc.relationMathematical models and applications NIP.UKIM.20-21.6en_US
dc.relation.ispartofМатематички билтен / Matematichki bilten / BULLETIN MATHÉMATIQUE DE LA SOCIÉTÉ DES MATHÉMATICIENS DE LA RÉPUBLIQUE MACÉDOINEen_US
dc.relation.ispartofseries47;1-
dc.subjectExtreme value theory, block maxima, peak over the threshold method, risk measures, Macedonian Stock Exchange, MB10 index.en_US
dc.titleDetermining Value at Risk using Extreme Value Theory on a Financial Data Seten_US
dc.typeJournal Articleen_US
dc.relation.conferenceVII Macedonian Mathematical Congressen_US
dc.identifier.doi10.37560/matbil23471039gj-
item.fulltextWith Fulltext-
item.grantfulltextopen-
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