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

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References

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1996Practical analysis of extreme values214 cited
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2000Extremes and integrated risk management187 cited

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2008A New Approach to Comparing VaR Estimation Methods56 cited
2006

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Selecting Copulas for Risk Management

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2008MEASURING THE MARKET RISK OF FREIGHT RATES: A VALUE-AT-RISK APPROACH51 cited

2010The predictive power of value-at-risk models in commodity futures markets47 cited

2010Time-varying higher-order conditional moments and forecasting intraday VaR and Expected Shortfall35 cited

2019Value-at-risk methodologies for effective energy portfolio risk management31 cited

2008Extreme returns and value at risk in international securitized real estate markets29 cited