High volatility, thick tails and extreme value theory in value-at-risk estimation.

DOI10.1016/j.insmatheco.2003.07.004zbMath1103.91364OpenAlexW2110779259MaRDI QIDQ1423365

Abdurrahman Ulugülyaǧci, Ramazan Gençay, Faruk Selçuk

Publication date: 14 February 2004

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/24416

zbMATH Keywords

Extreme value theoryFinancial risk managementValue-at-risk

Mathematics Subject Classification ID

Related Items (16)

Modelling the financial risk associated with U.S. Movie box office earnings ⋮ An application of extreme value theory for measuring financial risk ⋮ Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches ⋮ Volatility, risk modeling and utility ⋮ Estimating a tail of the mixture of log-normal and inverse Gaussian distribution ⋮ Risk analysis of cumulative intraday return curves ⋮ 3D extreme value analysis for stock return, interest rate and speed of mean reversion ⋮ CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory ⋮ Estimating generalized state density of near-extreme events and its applications in analyzing stock data ⋮ Extreme market risk and extreme value theory ⋮ Mark to market value at risk ⋮ Asymptotic expansions for the location invariant moment-type estimator ⋮ Two-step methods in VaR prediction and the importance of fat tails ⋮ Unnamed Item ⋮ Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures ⋮ Estimation of tail-related value-at-risk measures: range-based extreme value approach

Uses Software

• EVIM

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Extremal forex returns in extremely large data sets
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• The limiting distribution of extremal exchange rate returns
• Multivariate extremes, aggregation and risk estimation
• Extreme Value Theory as a Risk Management Tool
• Dangers of data mining: The case of calendar effects in stock returns
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