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Filtered extreme-value theory for value-at-risk estimation: evidence from Turkey
Ozun, Alper; Cifter, Atilla; Yılmazer, Sait - In: Journal of risk finance : the convergence of financial … 11 (2010) 2, pp. 164-179
Persistent link: https://www.econbiz.de/10003953354
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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186
Persistent link: https://www.econbiz.de/10012878191
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Intra-day seasonality in foreign exchange market transactions
Cotter, John; Dowd, Kevin - In: International review of economics & finance : IREF 19 (2010) 2, pp. 287-294
Persistent link: https://www.econbiz.de/10008669379
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Modelling catastrophic risk in international equity markets : an extreme value approach
Cotter, John - In: Applied financial economics letters 2 (2006) 1, pp. 13-17
Persistent link: https://www.econbiz.de/10003301507
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Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Račev, … - 2010
Persistent link: https://www.econbiz.de/10003964894
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Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 4 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009500227
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Value at risk using GARCH volatility models augmented with extreme value theory
Dicks, A.; Conradie, W. J.; De Wet, Tertius - In: Tydskrif vir studies in ekonomie en ekonometrie : SEE 38 (2014) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10010517322
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A comparison of tail behaviour of stock market returns
Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
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Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu - In: International review of financial analysis 33 (2014), pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206