Estimating and forecasting conditional risk measures with extreme value theory: A review

One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks. The purpose of this paper is to review these methods.

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Year of publication:	2018
Authors:	Bee, Marco ; Trapin, Luca
Published in:	Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 6.2018, 2, p. 1-16
Publisher:	Basel : MDPI
Subject:	Extreme Value Theory \| volatility \| risk \| quantile

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Type of publication:	Article
Type of publication (narrower categories):	Article
Language:	English
Other identifiers:	10.3390/risks6020045 [DOI] 1025526287 [GVK] hdl:10419/195837 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10011996603