Extreme Value Theory and Gold Price Extremes, 1975–2025: Long-Term Evidence on Value-at-Risk and Expected Shortfall
We analyze extreme gold price movements between 1975 and 2025 using Extreme Value Theory (EVT). Using both the Block-Maxima and Peaks-over-Threshold approaches on a daily return basis, we estimate Value-at-Risk (VaR) and Expected Shortfall (ES) for the entire distribution focusing on a long-term vie...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
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MDPI AG
2025-10-01
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| Reeks: | Commodities |
| Onderwerpen: | |
| Online toegang: | https://www.mdpi.com/2813-2432/4/4/24 |
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