Search Results - subject:"Extreme value theory"

Asymmetric Extreme Tails and Prospective Utility of Momentum Returns

Gregory-Allen, Russell B. - 2012

We use extreme value theory to analyse the tails of a momentum strategy's return distribution. The asymmetry between …

Persistent link: https://www.econbiz.de/10013115667

Wavelet based outlier correction for power controlled turning point detection in surveillance systems

Li, Yushu - 2012

Persistent link: https://www.econbiz.de/10009537293

The application of extreme value theory in operational risk management

Teplý, Petr - In: Ekonomický časopis : časopis pre ekonomickú … 60 (2012) 7, pp. 698-716

Persistent link: https://www.econbiz.de/10010189997

Diversification evidence from international equity markets using extreme values and stochastic copulas

Bhatti, Muhammad Ishaq; Nguyen, Cuong - In: Journal of international financial markets, … 22 (2012) 3, pp. 622-646

Persistent link: https://www.econbiz.de/10009623538

Value-at-Risk models and Basel capital charges : evidence from emerging and frontier stock markets

Rossignolo, Adrian F.; Fethı, Meryem Duygun; Shaban, … - In: Journal of financial stability 8 (2012) 4, pp. 303-319

Persistent link: https://www.econbiz.de/10009655576

Identifying contagion risk in the international banking system : an extreme value theory approach

Chan-Lau, Jorge A. - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 390-406

Persistent link: https://www.econbiz.de/10015179973

Measuring market risk for an agricultural exporter firm: a Copula approach

Fernández, Julián - In: Academia Revista Latinoamericana de Administración 30 (2017) 1, pp. 72-86

producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value … theory are used to perform more robust estimations, which take into account the multivariate dependence between the risk …

Persistent link: https://www.econbiz.de/10014677226

Improved VaR forecasts using extreme value theory with the Realized GARCH model

Paul, Samit; Sharma, Prateek - In: Studies in Economics and Finance 34 (2017) 2, pp. 238-259

extreme value theory (EVT) with the Realized GARCH (RGARCH) model. The predictive ability of this Realized GARCH-EVT (RG …

Persistent link: https://www.econbiz.de/10015014008

Extreme events in finance : a handbook of extreme value theory and its applications

Longin, François M. (ed.) - 2017

"Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications features a combination of the … theory, methods, and applications of extreme value theory (EVT) in finance as well as a practical understanding of market … Presenting a uniquely accessible guide, Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications …

Persistent link: https://www.econbiz.de/10011444872

Measuring risks in the tail: the extreme VaR and its confidence interval

Guégan, Dominique; Hassani, Bertrand; Li, Kehan - In: Risk and decision analysis 6 (2017) 3, pp. 213-224

Persistent link: https://www.econbiz.de/10011925077