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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
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Forecasting gains by using extreme value theory with realised GARCH filter
Paul, Samit; Sharma, Prateek - In: IIMB management review 33 (2021) 1, pp. 64-70
Persistent link: https://www.econbiz.de/10013205188
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Improved VaR forecasts using extreme value theory with the Realized GARCH model
Paul, Samit; Sharma, Prateek - In: Studies in economics and finance 34 (2017) 2, pp. 238-259
Persistent link: https://www.econbiz.de/10011822635
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Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya; Paul, Samit - In: Global business review 25 (2024) 2, pp. 468-490
Persistent link: https://www.econbiz.de/10014634250