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GARCH and SV Models with Application of Extreme Value Theory

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  • Magdalena Osinska
  • Marcin Faldzinski

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  • Magdalena Osinska & Marcin Faldzinski, 2008. "GARCH and SV Models with Application of Extreme Value Theory," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 8, pages 45-52.
    • Handle: RePEc:cpn:umkdem:v:8:y:2008:p:45-52
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    File URL: http://www.dem.umk.pl/dem/archiwa/v8/6_Osinska_Faldzinski.pdf
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    References listed on IDEAS

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    1. Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
    2. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
    3. Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-862, November.
    4. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
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