References

• 1999Coherent Measures of Risk8,849 cited
• 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
• 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
• 2005Measuring Market Risk489 cited
• 1999Extreme Value Theory as a Risk Management Tool465 cited
• 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
• 1998Incorporating volatility updating into the historical simulation method for value-at-risk352 cited
• 1998Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management277 cited
• 2010Global and regional spillovers in emerging stock markets: A multivariate GARCH-in-mean analysis202 cited
• 2010The economic effects of federalism and decentralization—a cross-country assessment175 cited
• 2003High volatility, thick tails and extreme value theory in value-at-risk estimation166 cited
• 2001Expected Shortfall as a Tool for Financial Risk Management162 cited
• 2007Nonparametric Estimation of Expected Shortfall153 cited
• 2005Nonparametric Inference of Value-at-Risk for Dependent Financial Returns148 cited
• 2002On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall