Estimation of tail-related value-at-risk measures: range-based extreme value approach

DOI10.1080/14697688.2013.819113zbMath1294.91192OpenAlexW2002962867MaRDI QIDQ2879028

David K. Wang, Heng-Chih Chou

Publication date: 5 September 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.819113

zbMATH Keywords

risk managementvalue-at-risk (VaR)asymmetric conditional autoregressive range (ACARR) modelextreme value theory (EVT)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Extreme value theory; extremal stochastic processes (60G70) Economic time series analysis (91B84)

Related Items (2)

Setting the margins of hang seng index futures on different positions using an APARCH-GPD model based on extreme value theory ⋮ How does the choice of Value-at-Risk estimator influence asset allocation decisions?

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