From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones or are we going to experience even larger movements? Are there theoretical...

Abstract In this paper we study time-consistent risk measures for returns that are given by a GARCH(1,1) model. We present a construction of risk measures based on their static counterparts that overcomes the lack of time-consistency. We then study in detail our construction for the risk...

This study examines problems that may occur when conventional Value‐at‐Risk (VaR) estimators are used to quantify market risks in an agricultural context. For example, standard VaR methods, such as the variance‐covariance method or historical simulation, can fail when the return...

Purpose The purpose of this paper is to analyse the effect of market risk on the revenues perceived by an agricultural producer, namely, a coffee exporter firm. Design/methodology/approach To model this risk, copula models and extreme value theory are used to perform more robust estimations,...

Purpose – The purpose of this paper is to measure a single financial institution's contribution to systemic risk by using extremal quantile regression and analyzing the influential factors of systemic risk. Design/methodology/approach – Extreme value theory is applied when measuring the...

Abstract The extreme value theory (EVT) is used to assess the risk of extreme events caused by natural calamities or untoward circumstances in the social and economic sectors. The theory can be used to study the frequency of rare events and to build up a predictive model so that one can attempt...

Purpose – The goal of this research is to investigate the time‐varying relationship between REITs and the stock markets in four Asian markets such as Taiwan, Hong Kong, Singapore and Japan. Design/methodology/approach – The Multivariate GARCH‐vech model is used to capture the...

Purpose This study aims to forecast daily value-at-risk (VaR) for international stock indices by using the conditional extreme value theory (EVT) with the Realized GARCH (RGARCH) model. The predictive ability of this Realized GARCH-EVT (RG-EVT) model is compared with those of the standalone...

Purpose – This study aims to examine the stock returns distributions in ten countries in the periods before and after the global financial crisis (GFC) to evaluate how well the empirical distributions conformed to the extreme value theory (EVT) which underlies a family of risk management...

Purpose The structural change of the dairy industry has been a long-term process with fewer, larger dairy herds in all regions. The purpose of this paper is to evaluate whether this structural change is leading to less income and wealth equality across dairy farms and how these factors differ...