Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model
DOI10.1016/J.ECONLET.2014.06.028zbMATH Open1303.62051OpenAlexW3122141131MaRDI QIDQ485704FDOQ485704
Authors: Yanping Yi, Xingdong Feng, Zhuo Huang 
Publication date: 14 January 2015
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2014.06.028
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)
Cites Work
- Extreme value theory. An introduction.
- Title not available (Why is that?)
- Conditional quantile estimation for generalized autoregressive conditional heteroscedasticity models
- Estimation of high conditional quantiles for heavy-tailed distributions
- A simple general approach to inference about the tail of a distribution
- A note on second order conditions in extreme value theory: linking general and heavy tail conditions
- Autoregressive Conditional Density Estimation
Cited In (10)
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Range-based risk measures and their applications
- EVT-based estimation of risk capital and convergence of high quantiles
- Adjusted extreme conditional quantile autoregression with application to risk measurement
- GARCH-UGH: a bias-reduced approach for dynamic extreme value-at-risk estimation in financial time series
- Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory
- A new method for extreme value at risk measure: QRNN+POT
- Estimation of tail-related value-at-risk measures: range-based extreme value approach
- Intensity-based estimation of extreme loss event probability and value at risk
- Measurement of risk based on QR-GARCH-EVT model
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