Karmakar, Madhusudan - In: Review of Financial Economics 22 (2013) 3, pp. 79-85
The purpose of the study is to estimate tail-related risk measures using extreme value theory (EVT) in the Indian stock market. The study employs a two stage approach of conditional EVT originally proposed by McNeil and Frey (2000) to estimate dynamic Value at Risk (VaR) and expected shortfall...
