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Estimating conditional value at risk in the Tehran stock exchange based on the extreme value theory using GARCH models
Tabasi, Hamed; Yousefi, Vahidreza; Tamošaitienė, Jolanta - In: Administrative Sciences : open access journal 9 (2019) 2/40, pp. 1-17
This paper attempted to calculate the market risk in the Tehran Stock Exchange by estimating the Conditional Value at Risk. Since the Conditional Value at Risk is a tail-related measure, Extreme Value Theory has been utilized to estimate the risk more accurately. Generalized Autoregressive...
Persistent link: https://www.econbiz.de/10012137016
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Extreme quantile estimation for β-mixing time series and applications
Chavez-Demoulin, Valérie; Guillou, Armelle - In: Insurance / Mathematics & economics 83 (2018), pp. 59-74
Persistent link: https://www.econbiz.de/10011944097
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Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar; Stephan, Andreas; Östermark, Ralf - In: International journal of forecasting 34 (2018) 3, pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki; Mwita, Peter N.; Waititu, Antony G. - In: Journal of mathematical finance 7 (2017) 4, pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
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Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert; Leung, Henry; Leung, Jessica Wai Yin; … - In: Journal of empirical finance 71 (2023), pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
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Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos - In: Journal of banking & finance 40 (2014), pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
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Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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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
This study aims to overcome the problem of dimensionality, accurate estimation, and forecasting Value-at-Risk (VaR) and Expected Shortfall (ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts, which are based on a weighted threshold and...
Persistent link: https://www.econbiz.de/10012804913
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi - In: International journal of economics and financial issues … 12 (2022) 3, pp. 38-52
Persistent link: https://www.econbiz.de/10013259361
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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