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Extreme Value Theory for Finance: A Survey
16 references·0 citing·24 second hop
Extreme Value Theory for Finance: A Survey (2012)Extreme Value Theory for Finance: A SurveyOn the coherence of expected shortfall (2002)On the coherence of expected …Extreme Correlation of International Equity Markets (2001)Extreme Correlation of Intern…An Introduction to Statistical Modeling of Extreme Values (2001)An Introduction to Statistica…Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Estimation of tail-related ri…Coherent Measures of Risk (1999)Coherent Measures of RiskEvaluating Interval Forecasts (1998)Evaluating Interval ForecastsThe variation of certain speculative prices (1997)The variation of certain spec…Modelling Extremal Events (1997)Modelling Extremal EventsTechniques for Verifying the Accuracy of Risk Measurement Models (1995)Techniques for Verifying the …Modelling of extremal events in insurance and finance (1994)Modelling of extremal events …The Asymptotic Theory of Extreme Order Statistics (1990)The Asymptotic Theory of Extr…Extreme Values, Regular Variation and Point Processes (1987)Extreme Values, Regular Varia…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …The Variation of Certain Speculative Prices (1963)The Variation of Certain Spec…Safety First and the Holding of Assets (1952)Safety First and the Holding …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Comparing Predictive Accuracy (1994)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)CAViaR (2004)CoVaR (2016)DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)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)Idea Generation and the Quality of the Best Idea (2010)Quantitative Risk Management (2011)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Empirical properties of asset returns: stylized facts and statistical issues (2001)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
this work references cited by second hop

References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2001An Introduction to Statistical Modeling of Extreme Values7,338 cited
  • 1963The Variation of Certain Speculative Prices4,851 cited
  • 1997The variation of certain speculative prices4,468 cited
  • 1997Modelling Extremal Events4,397 cited
  • 1994Modelling of extremal events in insurance and finance3,519 cited
  • 1987Extreme Values, Regular Variation and Point Processes3,165 cited
  • 1998Evaluating Interval Forecasts2,689 cited
  • 2001Extreme Correlation of International Equity Markets2,608 cited
  • 1952Safety First and the Holding of Assets2,537 cited
  • 1995Techniques for Verifying the Accuracy of Risk Measurement Models2,447 cited
  • 1990The Asymptotic Theory of Extreme Order Statistics1,830 cited
  • 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1,732 cited
  • 2002On the coherence of expected shortfall1,596 cited

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