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Extreme value theory and Value-at-Risk: Relative performance in emerging markets

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Gencay, Ramazan
Selcuk, Faruk

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Article provided by Elsevier in its journal International Journal of Forecasting.

Volume (Year): 20 (2004)
Issue (Month): 2 ()
Pages: 287-303
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Handle: RePEc:eee:intfor:v:20:y:2004:i:2:p:287-303

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  1. Onour, Ibrahim, 2009. "Extreme Risk and Fat-tails Distribution Model:Empirical Analysis," MPRA Paper 17736, University Library of Munich, Germany, revised 20 Sep 2009. [Downloadable!]
    Other versions:
  2. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics. [Downloadable!]
    Other versions:
  3. Marco Moscadelli, 2004. "The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee," Temi di discussione (Economic working papers) 517, Bank of Italy, Economic Research Department. [Downloadable!]
  4. Weshah Razzak, . "On the GCC Currency Union," API-Working Paper Series 0910, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
  5. Sasa Zikovic & Randall Filer, 2009. "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
  6. 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!]
  7. Vêlayoudom Marimoutou & Bechir Raggad & Abdelwahed Trabelsi, 2006. "Extreme Value Theory and Value at Risk : Application to Oil Market," Working Papers halshs-00410746_v1, HAL. [Downloadable!]
  8. Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007. "A robust VaR model under different time periods and weighting schemes," Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February. [Downloadable!] (restricted)
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