High volatility, thick tails and extreme value theory in value-at-risk estimation.

DOI10.1016/j.insmatheco.2003.07.004zbMath1103.91364MaRDI QIDQ1423365

Ramazan Gençay, Faruk Selçuk, Abdurrahman Ulugülyaǧci

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24416

zbMATH Keywords

Extreme value theory; Financial risk management; Value-at-risk

Mathematics Subject Classification ID

Related Items

Estimating generalized state density of near-extreme events and its applications in analyzing stock data, Modelling the financial risk associated with U.S. Movie box office earnings, An application of extreme value theory for measuring financial risk, Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches, Volatility, risk modeling and utility, Asymptotic expansions for the location invariant moment-type estimator

Uses Software

• EVIM

Cites Work

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