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Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market
16 references·0 citing·31 second hop
Extreme Risk, Value-At-Risk And Expected Shortfall In The Gold Market (2014)Extreme Risk, Value-At-Risk And Expected …Dynamics of oil price, precious metal prices, and exchange rate (2009)Dynamics of oil price, precio…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…An Application of Extreme Value Theory for Measuring Financial Risk (2006)An Application of Extreme Val…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Gold as a hedge against the dollar (2005)Gold as a hedge against the d…Risk and Volatility: Econometric Models and Financial Practice (2004)Risk and Volatility: Economet…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…Analysis of Financial Time Series (2002)Analysis of Financial Time Se…An Introduction to Statistical Modeling of Extreme Values (2002)An Introduction to Statistica…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsThe price of gold and the exchange rate (1996)The price of gold and the exc…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Residual Life Time at Great Age (1974)Residual Life Time at Great A…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Top Incomes in the Long Run of History (2011)An Introduction to Copulas (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Selecting and estimating regular vine copulae and application to financial returns (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)ARCH modeling in finance (1992)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Basel Committee On Banking Supervision (2010)A review of copula models for economic time series (2012)Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Extreme Correlation of International Equity Markets (2001)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Value-at-risk versus expected shortfall: A practical perspective (2004)Extreme events: dynamics, statistics and prediction (2011)Statistical Modeling of Spatial Extremes (2012)Multivariate Stochastic Volatility: A Review (2006)Metal volatility in presence of oil and interest rate shocks (2007)Modelling Nonlinear Economic Time Series (2010)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,201 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools1,932 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 2002An Introduction to Statistical Modeling of Extreme Values1,224 cited
  • 2002Analysis of Financial Time Series902 cited
  • 2005Gold as a hedge against the dollar572 cited
  • 2004Risk and Volatility: Econometric Models and Financial Practice554 cited
  • 2009Dynamics of oil price, precious metal prices, and exchange rate504 cited
  • 2006An Application of Extreme Value Theory for Measuring Financial Risk425 cited
  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
  • 1996

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The price of gold and the exchange rate
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