Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation
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Cited by:
- Nguyen, Cuong C. & Bhatti, M. Ishaq, 2012. "Copula model dependency between oil prices and stock markets: Evidence from China and Vietnam," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 758-773.
- Bhatti, M. Ishaq & Nguyen, Cuong C., 2012. "Diversification evidence from international equity markets using extreme values and stochastic copulas," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(3), pages 622-646.
More about this item
Keywords
Financial Risk management; Value-at-Risk; Extreme Value Theory; Conditional EVT; Backtesting;JEL classification:
- G0 - Financial Economics - - General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2007-07-13 (All new papers)
- NEP-ECM-2007-07-13 (Econometrics)
- NEP-FOR-2007-07-13 (Forecasting)
- NEP-RMG-2007-07-13 (Risk Management)
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