Książka = Book ; KS/4/2004/T37R03P01
Instytut Badań Systemowych. Polska Akademia Nauk ; Systems Research Institute. Polish Academy of Sciences
[5], 39-66 pages ; 21 cm ; Bibliography p. 64-66
In this paper we consider an Extreme Value Theory (EVT). The EVT developed as a counterpart of Value at Risk method (VaR). For this reason the EVT Models, POT and BMM models was coupled with the optimization and visualization tool EVIM within the MATLAB developing framework. Model input data are time series from Polish Stock Exchange (WIG). We compare aur outputs with other time series from various world stock exchanges.
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Systems Research Institute of the Polish Academy of Sciences
Library of Systems Research Institute PAS
Oct 15, 2021
Jul 19, 2021
29
https://rcin.org.pl./publication/234937
Miklewski, Antoni
Miklewski, Antoni
Miklewski, Antoni
Miklewski, Antoni
Miklewski, Antoni
Miklewski, Antoni
Miklewski, Antoni