Extreme value theory and VaR computation
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(24)- High volatility, thick tails and extreme value theory in value-at-risk estimation.
- Extremal forex returns in extremely large data sets
- Extreme VaR scenarios in higher dimensions
- Estimation of tail-related value-at-risk measures: range-based extreme value approach
- scientific article; zbMATH DE number 5901077 (Why is no real title available?)
- Application of extreme value theory in predicting funds based on the POT method
- Comparison of techniques for extreme values using financial data
- EVIM: a software package for extremel value analysis in MATLAB
- A study of two estimation methods for EVT
- Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
- scientific article; zbMATH DE number 1194772 (Why is no real title available?)
- Statistical inferences for generalized Pareto distribution based on interior penalty function algorithm and bootstrap methods and applications in analyzing stock data
- Editorial: Special issue on extremes in finance
- Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
- scientific article; zbMATH DE number 1424404 (Why is no real title available?)
- Estimation of value at risk: extreme value and robust approaches
- WVaR measuring models based on extreme value theory and empirical studies
- Intensity-based estimation of extreme loss event probability and value at risk
- Estimation of value at risk by extreme value methods
- An Extensive Comparison of Some Well‐Established Value at Risk Methods
- A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series
- Frontier estimation and extreme value theory
- Determining value at risk using extreme value theory on a financial data set
- An application of extreme value theory for measuring financial risk
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