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Challenges in the Application of Extreme Value Theory in Emerging Markets: A Case Study of Pakistan

Uppal, Jamshed Y.; Mudakkar, Syeda Rabab - In: Risk management post financial crisis : a period of …, (pp. 417-437). 2014

Extreme Value Theory (EVT) have been suggested, but typically data histories are limited, making it hard to test and apply EVT … distribution, and (iv) fixing the cut-off point for isolating extreme observations. Pakistan offers an instructive case since its …

Persistent link: https://www.econbiz.de/10015368701

How accurate are modern value-at-risk estimators derived from extreme value theory?

Auer, Benjamin R.; Mögel, Benjamin - 2016

derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

Persistent link: https://www.econbiz.de/10011587888

Realized volatility models and alternative Value-at-Risk prediction strategies

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - In: Economic modelling 40 (2014), pp. 101-116

Persistent link: https://www.econbiz.de/10010425716

Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling

Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38

Persistent link: https://www.econbiz.de/10010520086

Alarming of exchange rate crisis : a risk management approach

Zhao, Da; Wu, Tianhao - In: Risk governance & control : financial markets & institutions 6 (2016) 2, pp. 79-88

Persistent link: https://www.econbiz.de/10011657506

How accurate are modern Value-at-Risk estimators derived from extreme value theory?

Mögel, Benjamin; Auer, Benjamin R. - In: Review of quantitative finance and accounting 50 (2018) 4, pp. 979-1030

Persistent link: https://www.econbiz.de/10011979349

Conditional extremes in asymmetric financial markets

Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213

Persistent link: https://www.econbiz.de/10012179547

Foreign exchange risk in a managed float regime : a case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417

Persistent link: https://www.econbiz.de/10010259786

VaR performance during the subprime and sovereign debt crises : an application to emerging markets

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41

Persistent link: https://www.econbiz.de/10010419480

The impact of global financial crisis on the dependence structure of equity markets and on risk management

Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 5 (2013) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10009730450