Varying the VaR for unconditional and conditional environments
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- John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Papers 1103.5649, arXiv.org.
- John Cotter, 2011. "Varying the VaR for Unconditional and Conditional Environments," Working Papers 200419, Geary Institute, University College Dublin.
- Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
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Citations
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- Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," MPRA Paper 3493, University Library of Munich, Germany.
- john cotter & kevin dowd, 2011. "The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders," Papers 1103.5661, arXiv.org.
- Karmakar, Madhusudan, 2013. "Estimation of tail-related risk measures in the Indian stock market: An extreme value approach," Review of Financial Economics, Elsevier, vol. 22(3), pages 79-85.
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"Bayesian modeling of dynamic extreme values: extension of generalized extreme value distributions with latent stochastic processes,"
Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(7), pages 1248-1268, May.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015. "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes ," CIRJE F-Series CIRJE-F-952, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015. "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes ," CIRJE F-Series CIRJE-F-953, CIRJE, Faculty of Economics, University of Tokyo.
- Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015. "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes ," CIRJE F-Series CIRJE-F-952, CIRJE, Faculty of Economics, University of Tokyo.
- Karmakar, Madhusudan & Shukla, Girja K., 2015. "Managing extreme risk in some major stock markets: An extreme value approach," International Review of Economics & Finance, Elsevier, vol. 35(C), pages 1-25.
- Samit Paul & Madhusudan Karmakar, 2017. "Relative Efficiency of Component GARCH-EVT Approach in Managing Intraday Market Risk," Multinational Finance Journal, Multinational Finance Journal, vol. 21(4), pages 247-283, December.
- Karmakar, Madhusudan & Paul, Samit, 2016. "Intraday risk management in International stock markets: A conditional EVT approach," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 34-55.
- 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.
- Cotter, John & Dowd, Kevin, 2006.
"Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements,"
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3495, University Library of Munich, Germany.
- Kevin Dowd & John Cotter, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200742, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Working Papers 200616, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011. "Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements," Papers 1103.5408, arXiv.org.
- Herrera, R. & Clements, A.E., 2018.
"Point process models for extreme returns: Harnessing implied volatility,"
Journal of Banking & Finance, Elsevier, vol. 88(C), pages 161-175.
- R Herrera & Adam Clements, 2015. "Point process models for extreme returns: Harnessing implied volatility," NCER Working Paper Series 104, National Centre for Econometric Research.
- John Cotter & Kevin Dowd, 2011.
"Intra-Day Seasonality in Foreign Market Transactions,"
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- Kevin Dowd & John Cotter, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200746, Geary Institute, University College Dublin.
- John Cotter & Kevin Dowd, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200745, Geary Institute, University College Dublin.
- Psaradakis, Zacharias & Vávra, Marián, 2017.
"A distance test of normality for a wide class of stationary processes,"
Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
- Marian Vavra, 2015. "Testing for normality with applications," Working and Discussion Papers WP 1/2015, Research Department, National Bank of Slovakia.
- Zacharias Psaradakis & Marián Vávra, 2015. "A Distance Test of Normality for a Wide Class of Stationary Processes," Birkbeck Working Papers in Economics and Finance 1513, Birkbeck, Department of Economics, Mathematics & Statistics.
- Aditya Banerjee & Samit Paul, 2024. "Idiosyncrasies of Intraday Risk in Emerging and Developed Markets: Efficacy of the MCS-GARCH Model and Extreme Value Theory," Global Business Review, International Management Institute, vol. 25(2), pages 468-490, April.
- Wyn Morgan & John Cotter & Kevin Dowd, 2012.
"Extreme Measures of Agricultural Financial Risk,"
Journal of Agricultural Economics, Wiley Blackwell, vol. 63(1), pages 65-82, February.
- John Cotter & Kevin Dowd & Wyn Morgan, 2011. "Extreme Measures of Agricultural Financial Risk," Papers 1103.5962, arXiv.org.
- Zacharias Psaradakis & Marian Vavra, 2017.
"Normality Tests for Dependent Data,"
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- Zacharias Psaradakis & Marián Vávra, 2017. "Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches," Birkbeck Working Papers in Economics and Finance 1706, Birkbeck, Department of Economics, Mathematics & Statistics.
- Madhusudan Karmakar, 2013. "Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach," Review of Financial Economics, John Wiley & Sons, vol. 22(3), pages 79-85, September.
- Christian Francq & Jean-Michel Zakoïan, 2013.
"Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(4), pages 412-425, October.
- Christian Francq & Jean-Michel Zakoïan, 2011. "Estimating the Marginal Law of a Time Series with Applications to Heavy Tailed Distributions," Working Papers 2011-30, Center for Research in Economics and Statistics.
- Kavussanos, Manolis G. & Dimitrakopoulos, Dimitris N., 2011. "Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 258-268.
- Ra l de Jes s-Guti rrez & Roberto J. Santill n-Salgado, 2019. "Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets," International Journal of Economics and Financial Issues, Econjournals, vol. 9(3), pages 127-141.
- Trenca Ioan & Zoicas-Ienciu Adrian, 2010. "The Correlation Between The Market Risk And The Liquidity Risk In The Romanian Banking Sector," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 437-442, July.
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JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G0 - Financial Economics - - General
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