the SET100 index. From the sample distribution F(X), extreme values were identified. A tail index E was calculated to … verify the distribution for each security was identified. Using EVT, the threshold value was estimated and used as a tool for … risk assessment for each stock. It was found that Thailand's SET100 consists of two groups of stocks according to price …

We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk … model-free implied variation measures for estimating the corresponding risk neutral expectations …

parameters: the implied volatility and the implied average cumulative risk free interest rate. They can be found unconditionally …

stochastic volatility context and for high frequency data. The consistency and limit distribution of the estimators are derived …

independent to that of the variance risk premium) negative prediction for the next month equity premium. We also present a new … presence of market microstructure noise and can be extended to other co-moment measurement in current risk management practices …

We show that the compensation for rare events accounts for a large fraction of the equity and variance risk premia in … market volatility, but the risk premium for tail events cannot solely be explained by the level of the volatility. Our … corresponding jump tail density. Our estimates for the risk-neutral expectations are based on short maturity out-of-the money …

estimates lead in turn to substantial gains for forecasting various risk measures at horizons ranging from a few days to a few … underestimation of risk during bad times or overestimation of risk during good times. We assess the attainable improvements in VaR …