The extremal index (O) is the key parameter for extending extreme value theory results from i.i.d. to stationary …

The class of quantiles lies at the heart of extreme-value theory and is one of the basic tools in risk management. The …

a possible alternative motivation for the presence of heavy tails and a connection with the Extreme Value Theory …

Using extreme value theory tools, we demonstrate that the distributions of the exchange market pressure (EMP) series …

most recent approaches for quantifying market risk, especially of methods that are in the basis of extreme value theory, in … investigate whether extreme value theory outperforms econometric and quantile evaluation of VaR in emerging stock markets such as …, 2004 – February, 2014. Value at Risk results based on GARCH models, quantile estimation and extreme value theory are …

Using extreme value theory tools, we demonstrate that the distributions of the exchange market pressure (EMP) series …

This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting of foreign exchange … characteristics. Thus, this paper proposes the application of Extreme Value Theory in computing an “Extreme VaR” to directly focus on …