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From value at risk to stress testing: The extreme value approach

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Author Info
Longin, Francois M.
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File URL: http://www.sciencedirect.com/science/article/B6VCY-40GJF56-1/2/4f633e41c46d9d7705feb6f7b89c1f79
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 24 (2000)
Issue (Month): 7 (July)
Pages: 1097-1130
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Handle: RePEc:eee:jbfina:v:24:y:2000:i:7:p:1097-1130

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  1. Cotter, John, 2004. "Absolute Return Volatility," MPRA Paper 3530, University Library of Munich, Germany, revised 2005. [Downloadable!]
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  2. Coe, P. & Vahey S.P. & Wakerly, E.C., 2000. "The Transparency and Accountability of UK Debt Management: A Proposal," Cambridge Working Papers in Economics 0028, Faculty of Economics, University of Cambridge. [Downloadable!]
  3. Cotter, John & Dowd, Kevin, 2007. "Intra-Day Seasonality in Foreign Exchange Market Transactions," MPRA Paper 3502, University Library of Munich, Germany. [Downloadable!]
  4. Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002. "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," UmeÃ¥ Economic Studies 597, Umeå University, Department of Economics. [Downloadable!]
  5. Y. Malevergne & V. F. Pisarenko & D. Sornette, 2003. "Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?," Quantitative Finance Papers physics/0305089, arXiv.org. [Downloadable!]
  6. G. D. Gettinby & C. D. Sinclair & D. M. Power & R. A. Brown, 2006. "An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(2), pages 97-113. [Downloadable!]
  7. Koedijk, Kees & Kole, Erik & Verbeek, Marno, 2006. "Selecting Copulas for Risk Management," CEPR Discussion Papers 5652, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  8. 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!]
  9. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006. [Downloadable!]
  10. 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!]
  11. Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2007. "Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation," MPRA Paper 3963, University Library of Munich, Germany. [Downloadable!]
  12. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  13. Alexandru Stanga, 2008. "Measuring market risk: a copula and extreme value approach," Advances in Economic and Financial Research - DOFIN Working Paper Series 13, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB. [Downloadable!]
  14. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany. [Downloadable!]
  15. POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001. "New Extreme-Value Dependance Measures and Finance Applications," Les Cahiers de Recherche 719, HEC Paris. [Downloadable!]
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  16. Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany. [Downloadable!]
  17. John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics. [Downloadable!]
  18. Piotr Jaworski, 2006. "On a subjective approach to risk measurement," Quantitative Finance, Taylor and Francis Journals, vol. 6(6), pages 495-511, December. [Downloadable!] (restricted)
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