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An Application of Extreme Value Theory for Measuring Financial Risk

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Author Info
Manfred Gilli ()
Evis këllezi ()
Abstract

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File URL: http://hdl.handle.net/10.1007/s10614-006-9025-7
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Publisher Info
Article provided by Springer in its journal Computational Economics.

Volume (Year): 27 (2006)
Issue (Month): 2 (May)
Pages: 207-228
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Handle: RePEc:kap:compec:v:27:y:2006:i:2:p:207-228

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Web page: http://www.springerlink.com/link.asp?id=100248

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Related research
Keywords: extreme value theory generalized pareto distribution generalized extreme value distribution quantile estimation risk measures maximum likelihood estimation profile likelihood confidence intervals

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. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07071, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
  2. Jacob Gyntelberg & Eli M Remolona, 2007. "Risk in carry trades: a look at target currencies in Asia and the Pacific," BIS Quarterly Review, Bank for International Settlements, December. [Downloadable!]
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This page was last updated on 2008-7-3.

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.