values theory VaR model. Even in 2008 financial crisis, the conditional EVT model is more accurate and reliable for … accuracy models like the conditional EVT model, and this is the case for the assets being studied in this paper. …

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-based semiparametric approaches. To assess portfolio risk in six Asian markets, we incorporate a combination of extreme value theory (EVT … suggests that the Clayton copula-EVT evinces the best performance regardless of the shapes of the return distributions, and … that in general the copulas with the EVT provide better estimations of VaRs than the copulas with conventionally employed …

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 …