DPOT methodology: an application to value-at-risk

DOI10.1007/978-3-642-32419-2_9MaRDI QIDQ4644975zbMATH OpenOpenAlexFDO

Authors M. Isabel Fraga Alves, P. Araújo Santos

Publication date 9 January 2019

Published in Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-32419-2_9

zbMATH Keywords

value-at-riskthreshold methodspeaks over threshold (POT)

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Recommendations

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• Value at risk: Recent advances

Cites work

• scientific article; zbMATH DE number 4159879 (Why is no real title available?)
• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A new class of independence tests for interval forecasts evaluation
• Analysis of financial time series
• Estimating tails of probability distributions
• Residual life time at great age
• Statistical inference using extreme order statistics

Cited in

(3)

• Forecasting value-at-risk with a duration-based POT method
• Application of extreme value theory in predicting funds based on the POT method
• Estimating value-at-risk: a point process approach

Describes a project that uses

Uses Software

• CAViaR
• R

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