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A comparison of extreme value theory approaches for determining value at risk · Study

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ArticleA comparison of extreme value theory approaches for determining value at risk

Chris Brooks2005

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Articlegreen2005

A comparison of extreme value theory approaches for determining value at risk

Chris Brooks · Andrew Clare · John W. Dalle Molle · Gita Persand

147 citations·0/0 files stored·Journal of Empirical Finance

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Probability and Risk Models

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References

1999A Practical Guide to Heavy Tails: Statistical Techniques and Applications 1987Estimating Tails of Probability Distributions 2001Tail-Index Estimates in Small Samples 2000Value at Risk Calculations, Extreme Events, and Tail Estimation 1996Practical analysis of extreme values 1993Implications of Nonlinear Dynamics for Financial Risk Management 2000Extremes and integrated risk management

Cited by

2013EXTREME VALUE THEORY IN FINANCE: A SURVEY 2014Extreme-quantile tracking for financial time series 2010The Impact of Terrorism on Financial Markets: An Empirical Study 2006Liquidity adjusted value-at-risk based on the components of the bid-ask spread 2013Market capitalization and Value-at-Risk 2006A robust VaR model under different time periods and weighting schemes 2012Stable mixture GARCH models

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Year2005

Typearticle

Published2005-01-19

VenueJournal of Empirical Finance

ISSN-L0927-5398

Languageen

Citations147

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jempfin.2004.01.004

openalex_workW1997279702

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2008

A New Approach to Comparing VaR Estimation Methods