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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

-parametric estimation of the Hill tail-index and the quantile for negative stock market returns shows quite instability. …

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

Estimating systematic risk under extremely adverse market conditions

Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461

Persistent link: https://www.econbiz.de/10012054463

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

On additivity of tail comonotonic risks

Cheung, Ka Chun; Ling, Hok Kan; Tang, Qihe; Yam, Sheung … - In: Scandinavian actuarial journal 2019 (2019) 10, pp. 837-866

Persistent link: https://www.econbiz.de/10012195005

How often is the financial market going to collapse?

Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614

Persistent link: https://www.econbiz.de/10012156795

Forecasting uncertainty intervals for return period of extreme daily electricity consumption

Makatjane, Katleho - In: International Journal of Energy Economics and Policy : IJEEP 12 (2022) 4, pp. 217-225

Persistent link: https://www.econbiz.de/10013366091

Extremal connectedness of hedge funds

Mhalla, Linda; Hambuckers, Julien; Lambert, Marie - In: Journal of applied econometrics 37 (2022) 5, pp. 988-1009

Persistent link: https://www.econbiz.de/10013464644

Abnormal returns, risk, and options in large data sets

Caserta, Silvia; Daníelsson, Jón; Vries, Casper G. de - 1998

Large data sets in finance with millions of observations have becomewidely available. Such data sets enable the construction of reliablesemi-parametric estimates of the risk associated with extreme pricemovements. Our approach is based on semi-parametric statisticalextreme value analysis, and...

Persistent link: https://www.econbiz.de/10011299966

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

Modeling the distribution of extreme returns in the Chinese stock market

Hussain, Saiful Izzuan; Li, Steven - In: Journal of international financial markets, … 34 (2015), pp. 263-276

Persistent link: https://www.econbiz.de/10011474577

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