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Beyond the Sample: Extreme Quantile and Probability Estimation

Citations

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Cited by:

  1. Odening, Martin & Hinrichs, Jan, 2003. "Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory," German Journal of Agricultural Economics, Humboldt-Universitaet zu Berlin, Department for Agricultural Economics, vol. 52(02), pages 1-11.
  2. Tsourti, Zoi & Panaretos, John, 2004. "Extreme-value analysis of teletraffic data," Computational Statistics & Data Analysis, Elsevier, vol. 45(1), pages 85-103, February.
  3. Cotter, John, 2001. "Margin exceedences for European stock index futures using extreme value theory," Journal of Banking & Finance, Elsevier, vol. 25(8), pages 1475-1502, August.
  4. Mendes, Beatriz Vaz de Melo & Lopes, Hedibert Freitas, 2004. "Data driven estimates for mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 583-598, October.
  5. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
  6. Marcia M. A. Schafgans, 2000. "On Intercept Estimation in the Sample Selection Model," Econometric Society World Congress 2000 Contributed Papers 0730, Econometric Society.
  7. Tsourti, Zoi & Panaretos, John, 2003. "Extreme Value Index Estimators and Smoothing Alternatives: A Critical Review," MPRA Paper 6390, University Library of Munich, Germany.
  8. Odening, Martin & Hinrichs, Jan, 2002. "Assessment Of Market Risk In Hog Production Using Value-At-Risk And Extreme Value Theory," 2002 Annual meeting, July 28-31, Long Beach, CA 19907, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  9. Sebastian Schich, 2004. "European stock market dependencies when price changes are unusually large," Applied Financial Economics, Taylor & Francis Journals, vol. 14(3), pages 165-177.
  10. Manfred Gilli & Evis këllezi, 2006. "An Application of Extreme Value Theory for Measuring Financial Risk," Computational Economics, Springer;Society for Computational Economics, vol. 27(2), pages 207-228, May.
  11. John Cotter, 2004. "Downside risk for European equity markets," Applied Financial Economics, Taylor & Francis Journals, vol. 14(10), pages 707-716.
  12. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
  13. Lazar, Emese & Pan, Jingqi & Wang, Shixuan, 2024. "On the estimation of Value-at-Risk and Expected Shortfall at extreme levels," Journal of Commodity Markets, Elsevier, vol. 34(C).
  14. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.
  15. Francis X. Diebold & Til Schuermann & John D. Stroughair, 2000. "Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 1(2), pages 30-35, January.
  16. Carmela E. Quintos & Zhenhong Fan & Peter C.B. Phillips, 2000. "Structural Change in Tail Behavior and the Asian Financial Crisis," Cowles Foundation Discussion Papers 1283, Cowles Foundation for Research in Economics, Yale University.
  17. Marius Galabe Sampid & Haslifah M Hasim & Hongsheng Dai, 2018. "Refining value-at-risk estimates using a Bayesian Markov-switching GJR-GARCH copula-EVT model," PLOS ONE, Public Library of Science, vol. 13(6), pages 1-33, June.
  18. Brito, Margarida & Freitas, Ana Cristina Moreira, 2010. "Consistent estimation of the tail index for dependent data," Statistics & Probability Letters, Elsevier, vol. 80(23-24), pages 1835-1843, December.
  19. Lucas, André & Straetmans, Stefan & Klaassen, Pieter, 1999. "Tail behavior of credit loss distributions," Serie Research Memoranda 0060, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  20. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
  21. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.
  22. Ho, Lan-Chih & Burridge, Peter & Cadle, John & Theobald, Michael, 2000. "Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil," Pacific-Basin Finance Journal, Elsevier, vol. 8(2), pages 249-275, May.
  23. Kilic, Ekrem, 2006. "Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio," MPRA Paper 5610, University Library of Munich, Germany.
  24. repec:cdl:ucsdec:qt06m3d6nv is not listed on IDEAS
  25. Guang Bi & David E. Giles, 2007. "An Application of Extreme Value Theory to U.S. Movie Box Office Returns," Econometrics Working Papers 0705, Department of Economics, University of Victoria.
  26. Tsourti, Zoi & Panaretos, John, 2001. "Extreme Value Index Estimators and Smoothing Alternatives: Review and Simulation Comparison," MPRA Paper 6384, University Library of Munich, Germany.
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