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Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

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References

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Cited by

2015Value-at-Risk estimation of energy commodities: A long-memory GARCH–EVT approach100 cited
2014Energy portfolio risk management using time-varying extreme value copula methods70 cited
2010Estimating risk of foreign exchange portfolio: Using VaR and CVaR based on GARCH–EVT-Copula model67 cited
2014Realized volatility models and alternative Value-at-Risk prediction strategies64 cited
2006

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A robust VaR model under different time periods and weighting schemes

63 cited

2008Portfolio value-at-risk forecasting with GA-based extreme value theory54 cited

2014Managing extreme risk in some major stock markets: An extreme value approach38 cited

2012Extreme Value Theory for Finance: A Survey37 cited

2008Predictive performance of conditional Extreme Value Theory in Value-at-Risk estimation36 cited

2012Currency hedging strategies using dynamic multivariate GARCH34 cited

2012Evaluating value‐at‐risk models before and after the financial crisis of 200833 cited

2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model33 cited

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

2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile30 cited

2012Forecasting Value-at-Risk with a duration-based POT method30 cited

2009Measure of financial risk using conditional extreme value copulas with EVT margins29 cited