Extreme Value Theory for Tail-Related Risk Measures
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References listed on IDEAS
- Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
- 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.
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- Bystrom, Hans N. E., 2005.
"Extreme value theory and extremely large electricity price changes,"
International Review of Economics & Finance,
Elsevier, vol. 14(1), pages 41-55.
- Byström, Hans, 2001. "Extreme Value Theory and Extremely Large Electricity Price Changes," Working Papers 2001:19, Lund University, Department of Economics.
- Cristina Sommacampagna, 2002. "Stima del Value-at-Risk con il Filtro di Kalman," Rivista di Politica Economica, SIPI Spa, vol. 92(6), pages 147-174, November-.
- Bystrom, Hans N. E., 2004.
"Managing extreme risks in tranquil and volatile markets using conditional extreme value theory,"
International Review of Financial Analysis,
Elsevier, vol. 13(2), pages 133-152.
- Byström, Hans, 2001. "Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory," Working Papers 2001:18, Lund University, Department of Economics.
- Gupta, Anurag & Liang, Bing, 2005. "Do hedge funds have enough capital? A value-at-risk approach," Journal of Financial Economics, Elsevier, vol. 77(1), pages 219-253, July.
- Haque, Mahfuzul & Varela, Oscar & Hassan, M. Kabir, 2007. "Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(3), pages 449-469, July.
- repec:wsi:ijtafx:v:09:y:2006:i:02:n:s0219024906003548 is not listed on IDEAS
More about this item
KeywordsExtreme Value Theory; Generalized Pareto Distribution; Generalized Extreme Value Distribution; Quantile Estimation; Risk Measures; Maximum Likelihood Estimation; Profile Likelihood Confidence Intervals.;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
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