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EVT and tail-risk modelling: Evidence from market indices and volatility series · Study

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ArticleEVT and tail-risk modelling: Evidence from market indices and volatility series

David E. Allen2013

Article2013

EVT and tail-risk modelling: Evidence from market indices and volatility series

David E. Allen · Abhay Kumar Singh · Robert John Powell

45 citations·0/0 files stored·The North American Journal of Economics and Finance

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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References

1994Modelling of extremal events in insurance and finance 2007The black swan: the impact of the highly improbable 2008The Black Swan: The Impact of the Highly Improbable 2004CAViaR 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1990Models for Exceedances Over High Thresholds

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Year2013

Typearticle

Published2013-03-16

VenueThe North American Journal of Economics and Finance

ISSN-L1062-9408

Languageen

Citations45

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.najef.2013.02.010

openalex_workW1985490543

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