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Managing extreme risk in some major stock markets: An extreme value approach

Karmakar, Madhusudan; Shukla, Girja K. - In: International Review of Economics & Finance 35 (2015) C, pp. 1-25

The study investigates the relative performance of Value-at-Risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10years from January 01, 2000 to December 31, 2009. The main emphasis of the study has been...

Persistent link: https://www.econbiz.de/10011077080

Managing extreme risk in some major stock markets : an extreme value approach

Karmakar, Madhusudan; Shukla, Girja K. - In: International review of economics & finance : IREF 35 (2015), pp. 1-25

Persistent link: https://www.econbiz.de/10011333727

Intraday risk management in International stock markets : a conditional EVT approach

Karmakar, Madhusudan; Paul, Samit - In: International review of financial analysis 44 (2016), pp. 34-55

Persistent link: https://www.econbiz.de/10011623805