Practical problems of risk estimation in the analysis of daily time series

MaRDI QIDQ3105822zbMATH OpenFDO

Authors Zorica Mladenović, Pavle Mladenović

Publication date 19 December 2011

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

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Cited in

(16)

• 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.
• Forecasting value-at-risk with a duration-based POT method
• Risk forecasting in the context of time series
• Risk analysis of cumulative intraday return curves
• Time-consistency of risk measures with GARCH volatilities and their estimation
• A comparison of several time-series models for assessing the value at risk of shares
• Comparison of techniques for extreme values using financial data
• Estimating oil price value at risk using belief functions
• Empirical Issues in Value-at-Risk
• Return distribution and value at risk estimation for BELEX15
• Estimating value-at-risk: a point process approach
• scientific article; zbMATH DE number 2222631 (Why is no real title available?)
• Estimation of value at risk by extreme value methods
• Modelling the financial risk associated with U.S. Movie box office earnings

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