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When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

Persistent link: https://www.econbiz.de/10010399734

Value at risk using GARCH volatility models augmented with extreme value theory

Dicks, A.; Conradie, W. J.; De Wet, Tertius - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10010517322

A comparison of tail behaviour of stock market returns

Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34

Persistent link: https://www.econbiz.de/10010518936

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Extremal behavior of finite EGARCH processes

Lindner, Alexander M. (contributor); … - 2003

Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … results are then compared to related models, such as stochastic volatility models or Log-ACD models. -- EGARCH ; exponential … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …