Extreme value theory and Value-at-Risk: Relative performance in emerging marketsRamazan Gençay A, Faruk Selçuk∥2004-02-17articleInternational Journal of Forecasting420 citationsbronzeNo readable copy stored yet — this record is metadata only.Financial Risk and Volatility ModelingRisk and Portfolio OptimizationProbability and Risk ModelsAbstractNo abstract was published for this record.Citations in this libraryStored only when both papers are in the corpus — 420 citations exist upstream.References1986Generalized autoregressive conditional heteroskedasticity1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation1991Conditional Heteroskedasticity in Asset Returns: A New Approach1963The Variation of Certain Speculative Prices1997The variation of certain speculative prices1986Generalized autoregressive conditional heteroscedasticity2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach1974Residual Life Time at Great AgeCited by2004Forecasting economic and financial time-series with non-linear models2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee2009Extreme Value Theory and Value at Risk: Application to oil market2013A comprehensive review of Value at Risk methodologies2006Using extreme value theory to measure value-at-risk for daily electricity spot prices2008Developing a stress testing framework based on market risk models2016Frontiers in VaR forecasting and backtesting2013EXTREME VALUE THEORY IN FINANCE: A SURVEY