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An Application of Extreme Value Theory for Measuring Financial Risk

  • Manfred Gilli

    ()

  • Evis këllezi

    ()

No abstract is available for this item.

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File URL: http://hdl.handle.net/10.1007/s10614-006-9025-7
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Article provided by Society for Computational Economics 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
Contact details of provider: Web page: http://www.springerlink.com/link.asp?id=100248

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  1. Francis X. Diebold & Til Schuermann & John D. Stroughair, 1998. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-081, New York University, Leonard N. Stern School of Business-.
  2. McNeil, Alexander J. & Frey, Rudiger, 2000. "Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 271-300, November.
  3. Peter F. Christoffersen & Francis X. Diebold, 1998. "How Relevant is Volatility Forecasting for Financial Risk Management?," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-080, New York University, Leonard N. Stern School of Business-.
  4. Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
  5. Jondeau, E. & Rockinger, M., 1999. "The Tail Behavior of Sotck Returns: Emerging Versus Mature Markets," Working papers 66, Banque de France.
  6. Michel M. Dacorogna, & Ulrich A. Muller & Olivier V. Pictet & Casper De Vries,, . "The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets," Working Papers 1992-10-22, Olsen and Associates.
  7. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
  8. repec:dgr:uvatin:19980017 is not listed on IDEAS
  9. repec:ner:tilbur:urn:nbn:nl:ui:12-3108722 is not listed on IDEAS
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