This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
McNeil, Alexander J.
Frey, Rudiger
Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.sciencedirect.com/science/article/B6VFG-41T18WW-3/2/6c8a964008545933c57d4c5a87cf26df
File Format:
File Function:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 7 (2000)
Issue (Month): 3-4 (November)
Pages: 271-300
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300

Contact details of provider:
Web page: http://www.elsevier.com/locate/jempfin

For technical questions regarding this item, or to correct its listing, contact: (Heidi Boesdal).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Raymond Brummelhuis, 2006. "Auto-Dependence Structure of Arch-Models: Tail Dependence Coefficients," Birkbeck Working Papers in Economics and Finance 0605, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
  2. Hans Byström, 2003. "Estimating Default Probabilities Using Stock Prices: The Swedish Banking Sector During the 1990s Banking Crisis," Research Paper Series 92, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    Other versions:
  3. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
    Other versions:
  4. Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
  5. Jörg Polzehl & Vladimir Spokoiny, 2006. "Varying coefficient GARCH versus local constant volatility modeling. Comparison of the predictive power," SFB 649 Discussion Papers SFB649DP2006-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
  6. Raffaella Giacomini & Ivana Komunjer, 2003. "Evaluation and Combination of Conditional Quantile Forecasts," Boston College Working Papers in Economics 571, Boston College Department of Economics. [Downloadable!]
    Other versions:
  7. Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
  8. Amadeo Alentorn & Sheri Markose, 2006. "Removing Maturity Effects of Implied Risk Neutral Densities and Related Statistics," Economics Discussion Papers 609, University of Essex, Department of Economics. [Downloadable!]
  9. Ozun, Alper & Cifter, Atilla & Yilmazer, Sait, 2007. "Filtered Extreme Value Theory for Value-At-Risk Estimation," MPRA Paper 3302, University Library of Munich, Germany. [Downloadable!]
  10. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]
  11. Marcel Dettling & Peter Bühlmann, 2004. "Volatility and risk estimation with linear and nonlinear methods based on high frequency data," Applied Financial Economics, Taylor and Francis Journals, vol. 14(10), pages 717-729, June. [Downloadable!] (restricted)
  12. Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO. [Downloadable!]
  13. virginie terraza & stephane mussard, 2007. "New trading risk indexes: application of the shapley value in finance," Economics Bulletin, Economics Bulletin, vol. 3(25), pages 1-7. [Downloadable!]
  14. Ozun, Alper & Cifter, Atilla, 2007. "Nonlinear Combination of Financial Forecast with Genetic Algorithm," MPRA Paper 2488, University Library of Munich, Germany. [Downloadable!]
  15. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany. [Downloadable!]
    Other versions:
  16. Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department. [Downloadable!]
  17. Fortin, Ines & Kuzmics, Christoph, 2002. "Tail-Dependence in Stock-Return Pairs," Economics Series 126, Institute for Advanced Studies. [Downloadable!]
Statistics
Access and download statistics

Did you know? About 900 archives contribute their bibliographic data to RePEc.

This page was last updated on 2008-9-30.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.