scientific article; zbMATH DE number 5620847

zbMATH Open1178.91220MaRDI QIDQ3639769FDOQ3639769

Authors: Chin Wen Cheong, Z. Isa, Abu Hassan Shaari Mohd Nor 

Publication date: 26 October 2009

Title of this publication is not available (Why is that?)

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zbMATH Keywords

value-at-riskARCHheavy-tail distributionlong-persistence volatility

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; risk measures (91G70)

Cited In (9)

• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
• Estimating value-at-risk for Chinese stock market by switching regime ARCH model
• TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
• The exchange rate risk of Chinese yuan: using VaR and ES based on extreme value theory
• Title not available (Why is that?)
• WVaR measuring models based on extreme value theory and empirical studies
• Measurement of risk based on QR-GARCH-EVT model
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• Systematic VaR model based on multi-resolution analysis and extreme value theory

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