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Modelling extreme risk of the financial index (J580) using the general Pareto distribution

Jakata, Owen; Chikobvu, Delson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10012018994

The new hybrid value at risk approach based on the extreme value theory

Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …

Persistent link: https://www.econbiz.de/10011503775

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 …

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

Assessing stochastic dominance of downside and upside financial risk profiles using the block maxima method in extreme value theory

Li, Simon - In: Journal of risk management in financial institutions 17 (2024) 4, pp. 426-438

Persistent link: https://www.econbiz.de/10015108313

Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory

Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490

Persistent link: https://www.econbiz.de/10014634250

Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation

Auer, Benjamin R. - In: Journal of risk 18 (2015/2016) 1, pp. 27-44

Persistent link: https://www.econbiz.de/10013262944

Long run peso/dollar exchange rates and extreme value behavior : Value at Risk modeling

Jesús, Raúl de; Ortiz, Edgar; Cabello, Alejandra - In: The North American journal of economics and finance : a … 24 (2013), pp. 139-152

Persistent link: https://www.econbiz.de/10009739669

Risk measures in finance : congruent or contrasting?

Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180

Persistent link: https://www.econbiz.de/10012391033

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Ranking of VaR and ES Models : performance in developed and emerging markets

Zikovic, Sasa; Filer, Randall Keith - 2012

perform significantly better in ES estimation. -- ranking ; Value at Risk ; Expected Shortfall ; extreme value theory …An inherent problem with comparing and ranking competing Value at Risk (VaR) and Expected shortfall (ES) models is that … ranking and comparing the performance of VaR and ES models based on a nonparametric ANOVA test. The relative performance of …

Persistent link: https://www.econbiz.de/10009665398