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Steps in Applying Extreme Value Theory to Finance: A Review

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  • Younes Bensalah

Abstract

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Suggested Citation

  • Younes Bensalah, 2000. "Steps in Applying Extreme Value Theory to Finance: A Review," Staff Working Papers 00-20, Bank of Canada.
  • Handle: RePEc:bca:bocawp:00-20
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    File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-20.pdf
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    References listed on IDEAS

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    1. Holger Drees & Laurens F.M. de Haan & Sidney Resnick, 1998. "How to make a Hill Plot," Tinbergen Institute Discussion Papers 98-090/4, Tinbergen Institute.
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    Cited by:

    1. repec:wsi:ijfexx:v:02:y:2015:i:03:n:s2424786315500334 is not listed on IDEAS
    2. Pamela Cardozo, 2004. "Valor en Riesgo de los Activos Financieros Colombianos Aplicando la Teoría de Valor Extremo," Borradores de Economia 304, Banco de la Republica de Colombia.
    3. Suarez, R, 2001. "Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances," MPRA Paper 17443, University Library of Munich, Germany.
    4. Muteba Mwamba, John & Mhlanga, Isaah, 2013. "Extreme conditional value at risk: a coherent scenario for risk management," MPRA Paper 64387, University Library of Munich, Germany.
    5. Suarez, Ronny, 2009. "Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances," MPRA Paper 17482, University Library of Munich, Germany.
    6. de Jesús, Raúl & Ortiz, Edgar & Cabello, Alejandra, 2013. "Long run peso/dollar exchange rates and extreme value behavior: Value at Risk modeling," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 139-152.
    7. Younes Bensalah, 2002. "Asset Allocation Using Extreme Value Theory," Staff Working Papers 02-2, Bank of Canada.

    More about this item

    Keywords

    impact of crashes; implementation;

    JEL classification:

    • C0 - Mathematical and Quantitative Methods - - General
    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G1 - Financial Economics - - General Financial Markets

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