Extreme risk in Asian equity markets
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"Extreme spectral risk measures: An application to futures clearinghouse margin requirements,"
Journal of Banking & Finance, Elsevier, vol. 30(12), pages 3469-3485, December.
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Cited by:
- Hussain, Saiful Izzuan & Li, Steven, 2015. "Modeling the distribution of extreme returns in the Chinese stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 263-276.
- Saša ŽIKOVIÆ & Randall K. FILER, 2013.
"Ranking of VaR and ES Models: Performance in Developed and Emerging Markets,"
Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(4), pages 327-359, August.
- Sasa Zikovic & Randall Filer, 2012. "Ranking of VaR and ES Models: Performance in Developed and Emerging Markets," CESifo Working Paper Series 3980, CESifo.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Sasa Zikovic & Randall Filer, 2009. "Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets," CESifo Working Paper Series 2820, CESifo.
- Julija Cerović & Vesna Karadžić, 2015. "Extreme Value Theory In Emerging Markets: Evidence From Montenegrin Stock Exchange," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 60(206), pages 87-116, July - Se.
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More about this item
JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2007-06-18 (Risk Management)
- NEP-SEA-2007-06-18 (South East Asia)
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