The financial crisis has fueled interest in alternatives to traditional asset classes that might be less affected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

The financial crisis has fueled interest in alternatives to traditional asset classes that might be less a ected by large market gyrations and, thus, provide for a less volatile development of a portfolio. One attempt at selecting stocks that are less prone to extreme risks, is obeyance of...

This paper makes use of two types of extreme value distributions, namely: the generalised extreme value distribution often referred to as the block of maxima method (BMM), and the peak-over-threshold method (POT) of the extreme value distributions, to model the financial tail risks associated...

This study reexamines the issue of persistence in carbon emission allowance spot prices, using daily data, and covering the period from 28/2/2007 to 14/05/2014. For this purpose we use techniques based on the concept of long memory accounting for structural breaks and non-linearities in the...