An application of extreme value theory for measuring financial risk
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Publication:853582
maximum likelihood estimationextreme value theorygeneralized extreme value distributionrisk measuresquantile estimationgeneralized pareto distributionprofile likelihood confidence intervals
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Cites work
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Cited in
(43)- Predicting federal funds rate using extreme value theory
- Extreme value theory in medical sciences: modeling total high cholesterol levels
- The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance
- Modelling the financial risk associated with U.S. Movie box office earnings
- Modelling oil and gas supply disruption risks using extreme-value theory and copula
- Discrimination of psychotropic drugs over‐consumers using a threshold exceedance based approach
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- Assessment of dependent risk using extreme value theory in a time-varying framework
- Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
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