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Extreme Risk and Value-at-Risk in the German Stock Market
16 references·1 citing·42 second hop
Extreme Risk and Value-at-Risk in the German Stock Market (2007)Extreme Risk and Value-at-Risk in the Ger…RiskMetrics Technical Document (2015)RiskMetrics Technical DocumentThe amendment to the capital accord to incorporate market risk (2013)The amendment to the capital …CAViaR (2004)CAViaRTesting for differences in the tails of stock-market returns (2003)Testing for differences in th…An 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…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Evaluating Interval Forecasts (1998)Evaluating Interval ForecastsExtreme value statistics and wind storm losses: A case study (1997)Extreme value statistics and …Estimating the Density Tail Index for Financial Time Series (1997)Estimating the Density Tail I…The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks (1996)The stable Paretian hypothesi…The Asymptotic Distribution of Extreme Stock Market Returns (1996)The Asymptotic Distribution o…VAR: Seductive but Dangerous (1995)VAR: Seductive but DangerousThe Appraisal of Ordinary Shares by Investment Analysts in the UK and Germany (1993)The Appraisal of Ordinary Sha…Models for Exceedances Over High Thresholds (1990)Models for Exceedances Over H…The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …Extreme Value Theory for Finance: A Survey (2012)Extreme Value Theory for Fina…Extreme Values, Regular Variation and Point Processes (1987)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)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)CoVaR (2016)The Variation of Certain Speculative Prices (1963)Herd Behaviour, Bubbles and Crashes (1995)The variation of certain speculative prices (1997)Statistical properties of stock order books: empirical results and models (2002)Fluctuations and response in financial markets: the subtle nature of ‘random’ price changes (2004)Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model (2005)ARCH modeling in finance (1992)Modelling of extremal events in insurance and finance (1994)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)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Conditional value-at-risk for general loss distributions (2002)Measures of risk (2002)The use of GARCH models in VaR estimation (2004)An Academic Response to Basel 3.5 (2014)Why Does Stock Market Volatility Change Over Time? (1989)Measuring and Testing the Impact of News on Volatility (1993)GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics (2001)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)Measuring Market Risk (2005)An Application of Extreme Value Theory for Measuring Financial Risk (2006)Social physics (2022)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Risk 2 : Measuring the Risk in Value at Risk (1996)Evaluating Value at Risk Methodologies: Accuracy versus Computational Time (1997)The hidden dangers of historical simulation (2005)Sensitivity analysis of Values at Risk (2000)Modeling and forecasting petroleum futures volatility (2006)Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management (2009)
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References

  • 1998Evaluating Interval Forecasts2,689 cited
  • 2004CAViaR2,210 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 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
  • 2015RiskMetrics Technical Document661 cited
  • 1996The Asymptotic Distribution of Extreme Stock Market Returns510 cited
  • 1996The stable Paretian hypothesis and the frequency of large returns: an examination of major German stocks400 cited
  • 1995VAR: Seductive but Dangerous362 cited
  • 2002The emperor has no clothes: Limits to risk modelling323 cited
  • 2013The amendment to the capital accord to incorporate market risk283 cited
  • 2003An Extreme Value Approach to Estimating Volatility and Value at Risk*188 cited
  • 2003Testing for differences in the tails of stock-market returns164 cited
  • 1997Extreme value statistics and wind storm losses: A case study136 cited
  • 1997Estimating the Density Tail Index for Financial Time Series135 cited

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1993
The Appraisal of Ordinary Shares by Investment Analysts in the UK and Germany
124 cited

Cited by

  • 2012Extreme Value Theory for Finance: A Survey37 cited