shortfall (ES)-when applied to tail targeting of the extreme value (EV) model. We implement Lévy-VaR and ES risk measures as …

score-generalized extreme value distribution (SARIMA-GAS-GEVD) with a skewed student-t distribution had the best prediction … bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

. The higher extreme value index estimate associated with the BTC/USD when compared with the ZAR/USD estimate, suggests that …

Bitcoin price jumps is that it does not follow a normal distribution. This present study aims to reduce the extreme value data … available on Bitcoin into simple clusters based on extreme value returns. The study first measures the excessive volatility and … then estimates the extreme value returns of Bitcoin between November 2013 and August 2022 to achieve this objective. For …

Financial market data are abundant with outliers, and the search for an appropriate extreme value theory (EVT) approach … comparably higher than the block maxima estimates. The study further revealed that the blended generalised extreme value (bGEVD …