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Unexpected tails in risk measurement: Some international evidence
16 references·5 citing·42 second hop
Unexpected tails in risk measurement: Some international evidence (2013)Unexpected tails in risk measurement: Som…Quantitative Risk Management (2012)Quantitative Risk ManagementJump tails, extreme dependencies, and the distribution of stock returns (2012)Jump tails, extreme dependenc…Quantitative Risk Management (2011)Quantitative Risk ManagementExtreme US stock market fluctuations in the wake of 9/11 (2008)Extreme US stock market fluct…Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Extreme value theory and Valu…CAViaR (2004)CAViaRAn Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)An Extreme Value Approach to …The emperor has no clothes: Limits to risk modelling (2002)The emperor has no clothes: L…Value at Risk Calculations, Extreme Events, and Tail Estimation (2000)Value at Risk Calculations, E…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 Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)On the Frequency of Large Sto…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)On the Frequency of Large Sto…Measurement of extreme market risk: Insights from a comprehensive literature review (2021)Measurement of extreme market…Climate value at risk and expected shortfall for Bitcoin market (2021)Climate value at risk and exp…Backtesting extreme value theory models of expected shortfall (2018)Backtesting extreme value the…Numerical comparison of multivariate models to forecasting risk measures (2017)Numerical comparison of multi…Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market (2016)Does the fear gauge predict d…Extreme Values, Regular Variation and Point Processes (1987)Extreme Value Analysis of Environmental Time Series: An Application to Trend Detection in Ground-Level Ozone (1989)The Asymptotic Theory of Extreme Order Statistics (1990)Extreme Correlation of International Equity Markets (2001)Analysis of Financial Time Series (2006)The t Copula and Related Copulas (2007)The Behavior of Stock-Market Prices (1965)The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to Measuring Financial Contagion (2003)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)CoVaR (2016)The Distribution of Share Price Changes (1972)Estimating Tails of Probability Distributions (1987)New methods in statistical economics (1997)Institutional Investors and Stock Market Volatility (2006)Tail Risk and Asset Prices (2014)An Overview of Value at Risk (1997)Modelling Extremal Events (1997)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory of rational option pricing (2005)Lectures on Stochastic Programming (2009)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)Introductory Econometrics for Finance (2008)Volatility forecast comparison using imperfect volatility proxies (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Forecasting economic and financial time-series with non-linear models (2004)The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee (2004)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)Measuring and Testing the Impact of News on Volatility (1993)Dynamic Conditional Correlation (2002)An Introduction to Statistical Modeling of Extreme Values (2001)Goodness-of-fit tests for copulas: A review and a power study (2007)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)Is the Potential for International Diversification Disappearing? A Dynamic Copula Approach (2012)Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial datasets (1994)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2004CAViaR2,210 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1990Models for Exceedances Over High Thresholds1,725 cited
  • 2011Quantitative Risk Management998 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 1991On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective448 cited
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  • 2004Extreme value theory and Value-at-Risk: Relative performance in emerging markets420 cited
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  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2012Jump tails, extreme dependencies, and the distribution of stock returns170 cited
  • 2008

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Extreme US stock market fluctuations in the wake of 9/11
122 cited

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  • 2016Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market18 cited
  • 2021Measurement of extreme market risk: Insights from a comprehensive literature review16 cited