| Abstrakt: |
To better assess the financial contagion through the VaR, several recent studies used copula models. In the same context, this paper addresses the inefficiency of the classical approach such as a normal distribution in modeling the tail risk, by using the conditional Extreme Value Theory (GARCH-EVT), in order to assess extreme risks with contagion effect. The GARCH-EVT approach is a two-stage hybrid method that combines a Generalized Autoregressive Conditional Heteroskedasticity (GARCH) filter with the Extreme Value Theory (EVT). To implement our approach, we use macroeconomic time series from Morocco, Spain, France, and the USA. [ABSTRACT FROM AUTHOR] |
