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Managing extreme risk in some major stock markets : an extreme value approach

Karmakar, Madhusudan; Shukla, Girja K. - In: International review of economics & finance : IREF 35 (2015), pp. 1-25

Persistent link: https://www.econbiz.de/10011333727

Managing extreme risk in some major stock markets: An extreme value approach

Karmakar, Madhusudan; Shukla, Girja K. - In: International Review of Economics & Finance 35 (2015) C, pp. 1-25

The study investigates the relative performance of Value-at-Risk (VaR) models using daily share price index data from six different countries across Asia, Europe and the United States for a period of 10years from January 01, 2000 to December 31, 2009. The main emphasis of the study has been...

Persistent link: https://www.econbiz.de/10011077080

Intraday risk management in International stock markets : a conditional EVT approach

Karmakar, Madhusudan; Paul, Samit - In: International review of financial analysis 44 (2016), pp. 34-55

Persistent link: https://www.econbiz.de/10011623805

Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach

Karmakar, Madhusudan - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 275-291

Persistent link: https://www.econbiz.de/10011792337

Estimation of tail-related risk measures in the Indian stock market : an extreme value approach

Karmakar, Madhusudan - In: Review of financial economics : RFE 22 (2013) 3, pp. 79-85

Persistent link: https://www.econbiz.de/10010213379

Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach

Karmakar, Madhusudan; Khadotra, Ravi - In: Review of financial economics : RFE 41 (2023) 3, pp. 283-321

Persistent link: https://www.econbiz.de/10014336153

Relative efficiency of component GARCH-EVT approach in managing intraday market risk

Paul, Samit; Karmakar, Madhusudan - In: Multinational finance journal 21 (2017) 4, pp. 247-283

Persistent link: https://www.econbiz.de/10012547567

Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach

Karmakar, Madhusudan; Paul, Samit - In: International journal of forecasting 35 (2019) 2, pp. 699-709

Persistent link: https://www.econbiz.de/10012300717

Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach

Karmakar, Madhusudan; Paul, Samit - In: The energy journal 44 (2023) 2, pp. 139-179

Persistent link: https://www.econbiz.de/10014249083

A study on equity home bias using vine copula approach

Garg, Jyoti; Karmakar, Madhusudan; Paul, Samit - In: The North American journal of economics and finance : a … 64 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014246917