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- Mon Aug 13, 2012 5:21 pm
- Forum: Estimation
- Topic: Calculate VaR and ES based on EVT (Help)
- Replies: 1
- Views: 3947
Calculate VaR and ES based on EVT (Help)
Dear all I am doing the thesis at the moment and I have problem with Eviews. Actually, what I am going to do is trying to apply EVT to estimate the tails of return series of USD exchange rate. By using VaR and ES based on EVT, the aim is to find a better measure to calculate USD. first step is going...