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Estimating financial risk under time-varying extremal return behavior
10 references·0 citing·43 second hop
Estimating financial risk under time-varying extremal return behavior (2003)Estimating financial risk under time-vary…Conditional value-at-risk: Aspects of modeling and estimation (2002)Conditional value-at-risk: As…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…On moment condition failure in German stock returns: an application of recent advances in extreme value statistics (2000)On moment condition failure i…Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market (2000)Forecasting Extreme Financial…Estimation of Value at Risk by Extreme Value Methods (2000)Estimation of Value at Risk b…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…CAViaR: Conditional Value at Risk by Quantile Regression (1999)CAViaR: Conditional Value at …Incorporating volatility updating into the historical simulation method for value-at-risk (1998)Incorporating volatility upda…Stochastic properties of german stock returns (1996)Stochastic properties of germ…Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …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)Measuring and Testing the Impact of News on Volatility (1993)VAR: Seductive but Dangerous (1995)Evaluating Interval Forecasts (1998)Tail‐dependence in stock‐return pairs (2002)The basis risk of catastrophic-loss index securities (2003)Evaluating the Bank of England Density Forecasts of Inflation (2004)The Variation of Certain Speculative Prices (1963)The Behavior of Stock-Market Prices (1965)Journal of the American Statistical Association (1995)A tail estimator for the index of the stable paretian distribution (1998)Individual Investor Sentiment and Stock Returns - What Do We Learn from Warrant Traders? (2005)ARCH modeling in finance (1992)Coherent Measures of Risk (1999)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)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)From value at risk to stress testing: The extreme value approach (2000)Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (2006)CAViaR-based forecast for oil price risk (2009)Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence (2012)Modelling Extremal Events (1997)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)New Estimators for the Extremal Index and Other Cluster Characteristics (2003)Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals (2006)Asymmetric Information and Volatility Forecasting in Commodity Futures Markets (2013)CAViaR (2004)Nonparametric estimation of conditional VaR and expected shortfall (2008)Measuring and testing for the systemically important financial institutions (2013)Analysis and Forecasting of Electricity Price Risks with Quantile Factor Models (2015)Value at risk: the new benchmark for controlling market risk (1996)Extreme value theory for risk managers (1999)The hidden dangers of historical simulation (2005)The impact of sentiment and attention measures on stock market volatility (2019)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)The power-law tail exponent of income distributions (2006)Financial Economics, Fat-Tailed Distributions (2011)Extreme Value Theory for Finance: A Survey (2012)
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References

  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1998Incorporating volatility updating into the historical simulation method for value-at-risk352 cited
  • 2002Conditional value-at-risk: Aspects of modeling and estimation130 cited
  • 1999CAViaR: Conditional Value at Risk by Quantile Regression109 cited
  • 2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market52 cited
  • 2000Estimation of Value at Risk by Extreme Value Methods36 cited
  • 1996Stochastic properties of german stock returns35 cited
  • 2000On moment condition failure in German stock returns: an application of recent advances in extreme value statistics35 cited

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