Estimation of value at risk by extreme value methods
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Cited in
(37)- Measuring value at risk with an extremal process
- Estimating financial risk under time-varying extremal return behavior
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Fitting a Pareto-Normal-Pareto distribution to the residuals of financial data
- Extreme value analysis of actuarial risks: estimation and model validation
- Extremal forex returns in extremely large data sets
- Sparse moving maxima models for tail dependence in multivariate financial time series
- Avoiding zero probability events when computing value at risk contributions
- Forecasting value-at-risk with a duration-based POT method
- A comparison of several time-series models for assessing the value at risk of shares
- Arithmetic stability analysis of extreme risk evaluation based on the Monte Carlo simulation method
- Multivariate heavy-tailed models for value-at-risk estimation
- scientific article; zbMATH DE number 5898106 (Why is no real title available?)
- Cash flow at risk based on bootstrap simulation and generalized Pareto distribution
- Application of extreme value theory in predicting funds based on the POT method
- Practical problems of risk estimation in the analysis of daily time series
- Variance Reduction Techniques for Estimating Value-at-Risk
- Comparison of techniques for extreme values using financial data
- Extreme Value Modeling and Risk Analysis
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- A study of two estimation methods for EVT
- Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
- Regular Variation and Extremal Dependence of GARCH Residuals with Application to Market Risk Measures
- Tail-risk protection trading strategies
- Estimating oil price value at risk using belief functions
- DPOT methodology: an application to value-at-risk
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- Estimation of value at risk: extreme value and robust approaches
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Optimal choice of sample fraction in univariate financial tail index estimation
- Quantifying Extreme Risks
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- Return distribution and value at risk estimation for BELEX15
- Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory
- TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- Modelling the financial risk associated with U.S. Movie box office earnings
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