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When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

Over the last three decades, the world economy has been facing stock market crashes, currency crisis, the dot-com and … real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of … reliable results, but remains difficult to interpret in the real world. This paper proposes a quantile regression to transform …

Persistent link: https://www.econbiz.de/10010399734

Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution

Sigaukea, Caston; Makhwiting, Rhoda M.; Lesaoana, Maseka - In: African review of economics & finance : AREF : (a … 6 (2014) 1, pp. 41-55

Persistent link: https://www.econbiz.de/10010422319

Value at risk estimation for stock indices using the Basle committee proposal from 1995

Pojarliev, Momtchil; Polasek, Wolfgang - 2000

Persistent link: https://www.econbiz.de/10001537678

Bootstrapping time-varying uncertainty intervals for extreme daily return periods

Makatjane, Katleho - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-23

bulk distribution components. This implies that the combination of a stochastic econometric model with extreme value theory …

Persistent link: https://www.econbiz.de/10012804913

Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach

Makatjane, Katleho; Moroke, Ntebogang Dinah; Munapo, Elias - In: Handbook of research on emerging theories, models, and …, (pp. 31-64). 2021

apply extreme value theory (EVT) distributions to predict extreme losses of five South African (SA) financial times stock …

Persistent link: https://www.econbiz.de/10012604174

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

Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective

Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99

Persistent link: https://www.econbiz.de/10011662757

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643

Tail dependence analysis of stock markets using extreme value theory

Singh, Abhay Kumar; Allen, David E.; Powell, Robert - In: Applied economics 49 (2017) 45, pp. 4588-4599

Persistent link: https://www.econbiz.de/10011844236

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