Theory (EVT) and evaluate different methods that may be used to calculate VaR ranging from well known econometrics models of … GARCH and its variants to EVT based models which focus specifically on the tails of the distribution. We apply Univariate … volatility indices. We show with empirical evidence that EVT can be successfully applied to financial market return series for …

This paper employs the Extreme Value Theory (EVT) to measure the 'Value at Risk' (VaR) of EUA futures prices. The … results show that during the sample period: first, the EVT approach can be used to reliably measure the extreme risk of carbon …