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Unexpected tails in risk measurement: Some international evidence · Study

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ArticleUnexpected tails in risk measurement: Some international evidence

Konstantinos Tolikas2013

Article2013

Unexpected tails in risk measurement: Some international evidence

Konstantinos Tolikas

30 citations·0/0 files stored·Journal of Banking & Finance

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Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis Probability and Risk Models

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References

1999Coherent Measures of Risk 1998Evaluating Interval Forecasts 2004CAViaR 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1990Models for Exceedances Over High Thresholds 2011Quantitative Risk Management 1996The Asymptotic Distribution of Extreme Stock Market Returns 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective

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2018Backtesting extreme value theory models of expected shortfall 2017Numerical comparison of multivariate models to forecasting risk measures 2021Climate value at risk and expected shortfall for Bitcoin market 2016Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market 2021Measurement of extreme market risk: Insights from a comprehensive literature review

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Details

Year2013

Typearticle

Published2013-07-16

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations30

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jbankfin.2013.07.022

openalex_workW1993615052

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