Extreme market risk and extreme value theory
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Publication:2227458
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Cites work
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- ARCH models and financial applications
- Accounting for the threshold uncertainity in extreme value estimation
- An application of extreme value theory for measuring financial risk
- An introduction to statistical modeling of extreme values
- Estimating tails of probability distributions
- Extremal forex returns in extremely large data sets
- Extreme value analysis of environmental time series: an application to trend detection in ground-level ozone. With comments and a rejoinder by the author
- High volatility, thick tails and extreme value theory in value-at-risk estimation.
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Cited in
(29)- WVaR measuring models based on extreme value theory and empirical studies
- Generalized extreme value distribution and extreme economic value at risk (EE-VaR)
- Accurate approximation of the expected value, standard deviation, and probability density function of extreme order statistics from Gaussian samples
- scientific article; zbMATH DE number 1424404 (Why is no real title available?)
- Modelling the financial risk associated with U.S. Movie box office earnings
- Predicting federal funds rate using extreme value theory
- A general approach to generate random variates for multivariate copulae
- Backtesting extreme value theory models of expected shortfall
- Application of extreme value theory in predicting funds based on the POT method
- Severity modeling of extreme insurance claims for tariffication
- Permutation bootstrap and the block maxima method
- Study on dynamic risk measurement based on GJR and EVT
- Estimating oil price value at risk using belief functions
- GFC-robust risk management under the Basel accord using extreme value methodologies
- Downside risks in EU carbon and fossil fuel markets
- On agricultural commodities' extreme price risk
- The exchange rate risk of Chinese yuan: using VaR and ES based on extreme value theory
- An application of extreme value theory for measuring financial risk
- EVIM: a software package for extremel value analysis in MATLAB
- Extremal spectral risk measures and their applications in financial risk management
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
- Hunting for black swans in the European banking sector using extreme value analysis
- TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
- Estimates of the likelihood of extreme returns in international stock markets
- Comparison of techniques for extreme values using financial data
- Extremes for a general contagion risk measure
- Advances in extreme value theory with applications to finance.
- Measurement of risk based on QR-GARCH-EVT model
- Editorial: Special issue on extremes in finance
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