Extreme Value Theory (EVT) is heavily applied in modelling tail behaviour. Previous literature uses the tail index to test for Structural Breaks (SBs) in the tails. This study presents another more reliable approach and relies on the outperformance of the Generalized Pareto Distribution (GPD) in...

This article proposes to use the three multivariate skew distributions (generalized hyperbolic distribution, multivariate skew normal distribution, and multivariate skew Student<italic>-t</italic> distribution) for estimating the minimum variance hedge ratio in a dynamic setting. Three criteria for measuring...

This paper proposes an improved procedure for stochastic volatility model estimation with an application to Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) estimation. This improved procedure is composed of the following instrumental components: Fourier transform method for volatility...