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Portfolio selection : an extreme value approach

DiTraglia, Francis J.; Gerlach, Jeffrey R. - In: Journal of banking & finance 37 (2013) 2, pp. 305-323

Persistent link: https://www.econbiz.de/10009705699

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation

Iglesias, Emma M. - In: Economic modelling 50 (2015), pp. 1-8

Persistent link: https://www.econbiz.de/10011439601

Value at risk measuring and extreme value theory : evidence from Montenegro

Cerovic Smolovic, Julija - In: Facta Universitatis / Series economics and organization … 11 (2014) 2, pp. 175-189

Persistent link: https://www.econbiz.de/10011508680

Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz

Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134

Persistent link: https://www.econbiz.de/10011556804

Extremes, return level and identification of currency crises

Qin, Xiao; Liu, Liya - In: Economic modelling 37 (2014), pp. 439-450

Persistent link: https://www.econbiz.de/10010417634

VaR performance during the subprime and sovereign debt crises : an application to emerging markets

Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: Emerging markets review 20 (2014), pp. 23-41

Persistent link: https://www.econbiz.de/10010419480

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

Semiparametric estimation of multi-asset portfolio tail risk

Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408

Persistent link: https://www.econbiz.de/10010508674

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