value theory (EVT) provides a method to estimate VaR at high quantiles of the distribution focusing on unusual circumstances …. This paper employs EVT to calculate VaR for ten stock market indices belonging to developed and emerging markets in two … different ways: unconditional EVT on raw returns and conditional EVT through quasi-maximum likelihood. The performance of EVT …

) and two asymmetric (GJR-GARCH and EGARCH); and the extreme value theory (EVT). The ARMA models were initially used to … compare the methodology proposed. The results indicate that the ARMA-GARCH-EVT methodology showed a better performance than …

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 …

, extreme value theory (EVT) is used to analyze risk exposure for carbon price and to measure the Value at Risk (VaR) for the … and to calculate dynamic VaR. Traditional VaR and VaR based on EVT are also compared. The results show that the downside … risks are similar for the spot and futures markets during the same phase. The results also show that the EVT VaR is more …

assumptions of the model that seems to be unrealistic. Due to this fact we introduce EVT models, specifically the POT model. The …

, extreme value theory (EVT) is used to analyze risk exposure for carbon price and to measure the Value at Risk (VaR) for the … and to calculate dynamic VaR. Traditional VaR and VaR based on EVT are also compared. The results show that the downside … and downside risks are similar for the spot and futures markets during the same phase. The results also show that the EVT …