This paper investigates the long-term financial integration and bivariate extreme dependency between Bovespa and Istanbul Stock Exchanges. While static cointegration test present no evidence of long term cointegration, introduction of a structural break to the model shows that Bovespa and ISE...

In this study, the relationship between oil price movements and Turkish stock market is investigated. Given the fact that Turkey is an emerging and oil dependent country, we analyze how the stock market behaves together with the fluctuations in oil prices. The study focuses on extreme...

This paper compares the performance of several different value-at-risk (VaR) forecast models: historical simulation, RiskMetrics and models based on extreme-value theory. Both the parametric maximum likelihood and nonparametric Hill estimator, and the modified estimator of Dekkers, Einmahl and...