Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

DOI10.1080/14697688.2012.696679zbMath1280.91198OpenAlexW2013336602WikidataQ58060537 ScholiaQ58060537MaRDI QIDQ5746742

Francisco J. Climent, Dolores Furió

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10550/36991

zbMATH Keywords

financial marketstail estimationbacktestingconditional extreme value theory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Statistics of extreme values; tail inference (62G32) Statistical methods; economic indices and measures (91B82)

Related Items

Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model ⋮ GARCH-UGH: a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series ⋮ Two-step methods in VaR prediction and the importance of fat tails

Uses Software

• ismev

Cites Work

• An application of extreme value theory for measuring financial risk
• A conditional extreme value volatility estimator based on high-frequency returns
• Statistical inference using extreme order statistics
• Conditional tail behaviour and Value at Risk
• Estimating value-at-risk: a point process approach
• An introduction to statistical modeling of extreme values

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