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Estimation of Value at Risk by Extreme Value Methods · Study

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ArticleEstimation of Value at Risk by Extreme Value Methods

Sarah Lauridsen2000

Article2000

Estimation of Value at Risk by Extreme Value Methods

Sarah Lauridsen

36 citations·0/0 files stored·Extremes

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Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

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References

1997Modelling Extremal Events 1992ARCH modeling in finance 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1994Chapter 49 Arch models 2001Value at Risk 1999Dependence Measures for Extreme Value Analyses 2000From value at risk to stress testing: The extreme value approach

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2003New Estimators for the Extremal Index and Other Cluster Characteristics 2013Asymmetric Information and Volatility Forecasting in Commodity Futures Markets 2006Improved estimation of portfolio value‐at‐risk under copula models with mixed marginals 2003Estimating financial risk under time-varying extremal return behavior 2015Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns

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Year2000

Typearticle

Published2000-06-01

VenueExtremes

ISSN-L1386-1999

Languageen

Citations36

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1023/a:1009979331996

openalex_workW2190117399

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