Managing extreme risk in some major stock markets: An extreme value approach
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Li, Longqing, 2017. "A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk," MPRA Paper 85645, University Library of Munich, Germany.
- repec:eee:quaeco:v:68:y:2018:i:c:p:31-38 is not listed on IDEAS
- 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.
- Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing, vol. 32(4), pages 445-463, October.
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More about this item
KeywordsExtreme Value Theory; Peak over threshold method; Conditional EVT; Value-at-Risk;
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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