scientific article; zbMATH DE number 5620847

MaRDI QIDQ3639769zbMATH OpenFDO

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

Publication date 26 October 2009

zbMATH Keywords

ARCHheavy-tail distributionlong-persistence volatilityvalue-at-risk

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 7246952
• An application of extreme value theory for measuring financial risk
• scientific article; zbMATH DE number 2042812
• Extremal financial risk models and portfolio evaluation
• Revisiting calendar effects in Malaysian finance stocks market: Evidence from threshold GARCH (TGARCH) model

Cited in

(9)

• Estimating value-at-risk for Chinese stock market by switching regime ARCH model
• Measurement of risk based on QR-GARCH-EVT model
• scientific article; zbMATH DE number 7617985 (Why is no real title available?)
• Impact of foreign exchange rate on oil companies risk in stock market: a Markov-switching approach
• The exchange rate risk of Chinese yuan: using VaR and ES based on extreme value theory
• Systematic VaR model based on multi-resolution analysis and extreme value theory
• WVaR measuring models based on extreme value theory and empirical studies
• TWO-COMPONENT EXTREME VALUE DISTRIBUTION FOR ASIA-PACIFIC STOCK INDEX RETURNS
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3639769)