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Extreme risk spillovers across financial markets under different crises

Cao, Yufei - In: Economic modelling 116 (2022), pp. 1-19

Persistent link: https://www.econbiz.de/10014512465

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

On the effectiveness of stock index futures for tail risk protection

Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52

Persistent link: https://www.econbiz.de/10013259361

Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions

Szubzda, Filip; Chlebus, Marcin - In: Central European economic journal 6 (2019) 53, pp. 70-85

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were made on the daily closing prices of 10 major indices in...

Persistent link: https://www.econbiz.de/10012302139