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Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach
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Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach (2013)Estimation of tail‐related risk measures …Extreme Value Theory and Value at Risk: Application to oil market (2009)Extreme Value Theory and Valu…The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR (2007)The role of autoregressive co…A conditional-SGT-VaR approach with alternative GARCH models (2006)A conditional-SGT-VaR approac…Managing extreme risks in tranquil and volatile markets using conditional extreme value theory (2004)Managing extreme risks in tra…An Extreme Value Approach to Estimating Volatility and Value at Risk* (2003)An Extreme Value Approach to …Value At Risk: The New Benchmark for Managing Financial Risk (2000)Value At Risk: The New Benchm…From value at risk to stress testing: The extreme value approach (2000)From value at risk to stress …Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Extreme Value Theory as a Risk Management Tool (1999)Extreme Value Theory as a Ris…Value-at-Risk and Extreme Returns (1998)Value-at-Risk and Extreme Ret…Calculating quantile risk measures for financial return series using extreme value theory (1998)Calculating quantile risk mea…Tail index and quantile estimation with very high frequency data (1997)Tail index and quantile estim…Modelling Extremal Events (1997)Modelling Extremal EventsEstimating the Tails of Loss Severity Distributions Using Extreme Value Theory (1997)Estimating the Tails of Loss …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …Residual Life Time at Great Age (1974)Residual Life Time at Great A…Extreme Values, Regular Variation and Point Processes (1987)Conditional value-at-risk for general loss distributions (2002)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Top Incomes in the Long Run of History (2011)Oil and the Macroeconomy since World War II (1983)Generalized autoregressive conditional heteroskedasticity (1986)A comprehensive review of Value at Risk methodologies (2013)A wavelet decomposition approach to crude oil price and exchange rate dependence (2013)Model risk of risk models (2016)Safety First and the Holding of Assets (1952)On Some Simple Estimates of an Exponent of Regular Variation (1982)Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management (1998)Value-at-Risk and Extreme Returns (2000)Evaluation and Combination of Conditional Quantile Forecasts (2005)ARCH modeling in finance (1992)Coherent Measures of Risk (1999)Value-at-Risk Prediction: A Comparison of Alternative Strategies (2005)Tails, Fears, and Risk Premia (2011)Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks (2022)Techniques for Verifying the Accuracy of Risk Measurement Models (1995)Inference for Clusters of Extreme Values (2003)Measuring Market Risk (2005)Models for Exceedances Over High Thresholds (1990)Heavy tail modeling and teletraffic data: special invited paper (1997)Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004)Backtesting Value-at-Risk: A Duration-Based Approach (2004)Is gold a safe haven or a hedge for the US dollar? Implications for risk management (2013)Machine Learning in Banking Risk Management: A Literature Review (2019)Extreme Correlation of International Equity Markets (2001)Predicting financial crashes using discrete scale invariance (1999)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Empirical properties of asset returns: stylized facts and statistical issues (2001)
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References

  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 2000Value At Risk: The New Benchmark for Managing Financial Risk2,478 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 1974Residual Life Time at Great Age1,484 cited
  • 1997Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory543 cited
  • 2000From value at risk to stress testing: The extreme value approach517 cited
  • 1999Extreme Value Theory as a Risk Management Tool465 cited
  • 1997Tail index and quantile estimation with very high frequency data313 cited
  • 2009Extreme Value Theory and Value at Risk: Application to oil market213 cited
  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2006A conditional-SGT-VaR approach with alternative GARCH models145 cited
  • 2007The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR123 cited
  • 1998Value-at-Risk and Extreme Returns104 cited
  • 2004Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

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102 cited
  • 1998Calculating quantile risk measures for financial return series using extreme value theory89 cited
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