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Value-at-Risk estimation of energy commodities : a long-memory GARCH-EVT approach

Youssef, Manel; Belkacem, Lotfi; Mokni, Khaled - In: Energy economics 51 (2015), pp. 99-110

Persistent link: https://www.econbiz.de/10011564809

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

Time-varying jump tails

Bollerslev, Tim; Todorov, Viktor - In: Journal of econometrics 183 (2014) 2, pp. 168-180

Persistent link: https://www.econbiz.de/10010506069

Tail index estimation in the presence of covariates : stock returns' tail risk dynamics

Nicolau, João; Rodrigues, Paulo M. M.; Stoykov, Marian Z. - In: Journal of econometrics 235 (2023) 2, pp. 2266-2284

Persistent link: https://www.econbiz.de/10014471455

The extreme value theory as a tool to measure market risk

Avdulaj, Krenar - 2011

Value theory to capture large and rare risks. We compare estimates of this method with historical simulation and variance … volatility times. -- Value-at-Risk ; Extreme Value Theory ; copula …

Persistent link: https://www.econbiz.de/10009234152

The Analysis of Value at Risk for Precious Metal Returns by Applying Extreme Value Theory, Copula Model and GARCH Model

Khemawanit, Kritsana - 2016

This paper examines Value at Risk by applying GARCH-EVT-Copula model and finds the optimal portfolio for the precious metal. The 4,077 precious metal price observations are collected from 3rd January 2000 to 18th August 2015, traded in the London Metal Exchange, and all prices are traded in US...

Persistent link: https://www.econbiz.de/10012976965

GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series

Kaibuchi, Hibiki; Kawasaki, Yoshinori; Stupfler, G. - In: Quantitative finance 22 (2022) 7, pp. 1277-1294

Persistent link: https://www.econbiz.de/10013367899

Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data

Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014487297

Value-at-risk : techniques to account for leptokurtosis and asymmetric behavior in returns distribtions

Lechner, Lindsay A.; Ovaert, Timothy C. - In: Journal of risk finance : the convergence of financial … 11 (2010) 5, pp. 464-480

Persistent link: https://www.econbiz.de/10008778709

Confidence intervals for conditional tail risk measures in ARMA-GARCH models

Hoga, Yannick - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 4, pp. 613-624

Persistent link: https://www.econbiz.de/10012179001