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EVT and tail-risk modelling : evidence from market indices and volatility series

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - In: The North American journal of economics and finance : a … 26 (2013), pp. 355-369

Persistent link: https://www.econbiz.de/10010367580

Measuring extreme market risk : The Sri Lankan context

Wijeyakulasuriya, D. A.; Wickremasinghe, W. N. - In: Asia-Pacific journal of risk and insurance : APJRI 9 (2015) 2, pp. 185-201

Persistent link: https://www.econbiz.de/10011407703

Extreme risk modeling : an EVT-pair-copulas approach for financial stress tests

Koliai, Lyes - In: Journal of banking & finance 70 (2016), pp. 1-22

Persistent link: https://www.econbiz.de/10011635106

Relative efficiency of component GARCH-EVT approach in managing intraday market risk

Paul, Samit; Karmakar, Madhusudan - In: Multinational finance journal 21 (2017) 4, pp. 247-283

Persistent link: https://www.econbiz.de/10012547567

Volatility and models based on the extreme value theory for gold returns

Krężołek, Dominik; Piontek, Krzysztof - In: Statistics in transition : an international journal of … 25 (2024) 2, pp. 1-22

volatility and models based on the extreme value theory (EVT). ES forecasts were calculated for conditional APARCH models formed … on the entire distribution of returns, as well as for EVT models. The results of ES forecasts for each model were … verified using the backtesting procedure proposed by Acerbi and Szekely. The results show that EVT models provide more accurate …

Persistent link: https://www.econbiz.de/10015125518

Tail risk of coal futures in China's market

Shen, Ze; Wang, Minglu; Wan, Qing - In: Accounting and finance 63 (2023), pp. 2827-2845

Persistent link: https://www.econbiz.de/10014302188

Downside/upside price spillovers between precious metals : a vine copula approach

Reboredo, Juan Carlos; Ugolini, Andrea - In: The North American journal of economics and finance : a … 34 (2015), pp. 84-102

Persistent link: https://www.econbiz.de/10011539691

The contagion effect in European sovereign debt markets : a regime-switching vine copula approach

BenSaïda, Ahmed - In: International review of financial analysis 58 (2018), pp. 153-165

Persistent link: https://www.econbiz.de/10012006432

Modelling the nonlinear relationship between oil prices, stock markets, and exchange rates in oil-exporting and oil-importing countries

Chkir, Imed Eddine; Guesmi, Khaled; Brayek, Angham Ben; … - In: Research in international business and finance 54 (2020), pp. 1-13

Persistent link: https://www.econbiz.de/10012581526

Measuring risk spillovers from multiple developed stock markets to China : a vine-copula-GARCH-MIDAS model

Jiang, Cuixia; Li, Yuqian; Xu, Qifa; Liu, Yezheng - In: International review of economics & finance : IREF 75 (2021), pp. 386-398

Persistent link: https://www.econbiz.de/10012692552