Extreme market risk and extreme value theory
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Publication:2227458
DOI10.1016/J.MATCOM.2012.05.010zbMATH Open1499.91188OpenAlexW1975030439MaRDI QIDQ2227458FDOQ2227458
Authors: A. K. Singh, D. E. Allen, Powell J. Robert 
Publication date: 15 February 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2012.05.010
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Cited In (22)
- Accurate approximation of the expected value, standard deviation, and probability density function of extreme order statistics from Gaussian samples
- Extremal spectral risk measures and their applications in financial risk management
- Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
- Modelling the financial risk associated with U.S. Movie box office earnings
- An application of extreme value theory for measuring financial risk
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
- Downside risks in EU carbon and fossil fuel markets
- Hunting for black swans in the European banking sector using extreme value analysis
- Permutation bootstrap and the block maxima method
- Estimating oil price value at risk using belief functions
- A general approach to generate random variates for multivariate copulae
- Severity modeling of extreme insurance claims for tariffication
- Application of extreme value theory in predicting funds based on the POT method
- Editorial: Special issue on extremes in finance
- TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
- Extremes for a general contagion risk measure
- Title not available (Why is that?)
- Advances in extreme value theory with applications to finance.
- Measurement of risk based on QR-GARCH-EVT model
- EVIM: a software package for extremel value analysis in MATLAB
- Estimates of the likelihood of extreme returns in international stock markets
- Study on dynamic risk measurement based on GJR and EVT
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