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Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Stroughair, John D..
In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
RePEc:fth:nystfi:98-081.

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  1. Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs. (2023). Zulfiqar, Noshaba ; Wee, Jung Bum ; Bouri, Elie ; Ghosh, Bikramaditya.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000715.

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  2. Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

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  3. Risk quantification in turmoil markets. (2017). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
    In: Risk Management.
    RePEc:pal:risman:v:19:y:2017:i:3:d:10.1057_s41283-017-0018-8.

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  4. Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness. (2017). Massacci, Daniele.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:9:p:3072-3089.

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  5. Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:41:y:2016:i:c:p:47-59.

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  6. Is risk higher during non-trading periods? The risk trade-off for intraday versus overnight market returns. (2015). Wagner, Niklas ; Riedel, Christoph .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:39:y:2015:i:c:p:53-64.

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  7. Extreme Value Theory: An Application to the Peruvian Stock Market Returns. (2014). Rodríguez, Gabriel ; Vela, Alfredo Calderon ; Rodriguez, Gabriel.
    In: Documentos de Trabajo / Working Papers.
    RePEc:pcp:pucwps:wp00394.

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  8. Downside risk, portfolio diversification and the financial crisis in the euro-zone. (2014). Hammoudeh, Shawkat ; AraujoSantos, Paulo ; Sarafrazi, Soodabeh.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:32:y:2014:i:c:p:368-396.

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  9. Extreme-quantile tracking for financial time series. (2014). Embrechts, P. ; Chavez-Demoulin, V. ; Sardy, S..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:181:y:2014:i:1:p:44-52.

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  10. Estimation of the Agricultural Probability of Loss: evidence for soybean in Paraná Stats. (2014). Faria, Priscila Neves ; Ozaki, Vitor Augusto ; Campos, Rogrio Costa ; Olinda, Ricardo .
    In: Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR).
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  11. GFC-Robust Risk Management under the Basel Accord using Extreme Value Methodologies. (2013). McAleer, Michael ; Jimenez-Martin, Juan ; Amaral, Teodosio Perez ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20130070.

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  12. Extreme market risk and extreme value theory. (2013). Powell, Robert ; Allen, David ; Singh, Abhay K. ; Robert, Powell J..
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:310-328.

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  13. GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:94:y:2013:i:c:p:223-237.

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  14. Financial Risk Measurement for Financial Risk Management. (2013). Andersen, Torben G ; Diebold, Francis X ; Christoffersen, Peter F ; Bollerslev, Tim.
    In: Handbook of the Economics of Finance.
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  15. High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables. (2013). Hammoudeh, Shawkat ; Alves, Isabel Fraga ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:26:y:2013:i:c:p:487-496.

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  16. Downside risk management and VaR-based optimal portfolios for precious metals, oil and stocks. (2013). Hammoudeh, Shawkat ; Al-Hassan, Abdullah ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:25:y:2013:i:c:p:318-334.

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  17. Extreme downside risk and expected stock returns. (2012). Wu, Feng ; Huang, Wei ; Liu, Qianqiu ; Rhee, Ghon S..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:5:p:1492-1502.

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  18. The Extreme Value Theory and Copulas as a Tool to Measure Market Risk. (2012). Avdulaj, Krenar.
    In: Bulletin of the Czech Econometric Society.
    RePEc:czx:journl:v:19:y:2012:i:29:id:192.

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  19. Varying the VaR for Unconditional and Conditional Environments. (2011). cotter, john.
    In: Working Papers.
    RePEc:ucd:wpaper:200419.

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  20. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Jimenez-Martin, J-A., ; Santos, P. A..
    In: Econometric Institute Research Papers.
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  21. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
    In: Working Papers in Economics.
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  22. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
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  23. Value at risk models for volatile emerging markets equity portfolios. (2010). Spyrou, Spyros ; Kavussanos, Manolis ; Dimitrakopoulos, Dimitris.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:50:y:2010:i:4:p:515-526.

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  24. Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances. (2009). Suarez, Ronny.
    In: MPRA Paper.
    RePEc:pra:mprapa:17482.

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  25. VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.. (2008). Erzegovesi, Luca.
    In: Alea Tech Reports.
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  26. A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL. (2007). d'Addona, Stefano ; Rachev, Svetlozar T ; Marinelli, Carlo .
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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  27. A Generalized Extreme Value Approach to Financial Risk Measurement. (2007). Bali, Turan G.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:39:y:2007:i:7:p:1613-1649.

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  28. Robust Value at Risk Prediction. (2007). Trojani, Fabio ; Mancini, Loriano.
    In: University of St. Gallen Department of Economics working paper series 2007.
    RePEc:usg:dp2007:2007-36.

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  29. A Robust VaR Model under Different Time Periods and Weighting Schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: MPRA Paper.
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  30. Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation. (2007). GHORBEL, Ahmed ; Trabelsi, Abdelwahed.
    In: MPRA Paper.
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  31. A robust VaR model under different time periods and weighting schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: Review of Quantitative Finance and Accounting.
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  32. An Extreme Value Approach to Estimating Interest-Rate Volatility: Pricing Implications for Interest-Rate Options. (2007). Bali, Turan G..
    In: Management Science.
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  33. Safety-first and extreme value bilateral U.S.-Mexican portfolio optimization around the peso crisis and NAFTA in 1994. (2007). Varela, Oscar ; Hassan, M. Kabir ; Haque, Mahfuzul.
    In: The Quarterly Review of Economics and Finance.
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  34. Varying the VaR for unconditional and conditional environments. (2007). cotter, john.
    In: Journal of International Money and Finance.
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  35. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

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  36. Extreme Value Estimation of Boom and Crash Statistics. (2006). cotter, john.
    In: The European Journal of Finance.
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  37. An Application of Extreme Value Theory for Measuring Financial Risk. (2006). Gilli, Manfred.
    In: Computational Economics.
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  38. Extremal financial risk models and portfolio evaluation. (2006). Huang, James ; Zhang, Zhengjun.
    In: Computational Statistics & Data Analysis.
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  39. Risk premium: insights over the threshold. (2006). Hasman, Augusto ; Pea, Juan Ignacio ; Jose L. B. Fernandes, .
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  40. Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory. (2006). Martins-Filho, Carlos ; Yao, Feng.
    In: Studies in Nonlinear Dynamics & Econometrics.
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  41. Risk Premium: Insights Over The Threshold. (2006). Hasman, Augusto ; Pea, Juan Ignacio ; Jose L. B. Fernandes, .
    In: Working Papers Series.
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  42. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: CFS Working Paper Series.
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  43. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
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  44. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
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  45. Measuring tail thickness under GARCH and an application to extreme exchange rate changes. (2005). Wagner, Niklas ; Marsh, Terry A..
    In: Journal of Empirical Finance.
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  46. Downside risk for European equity markets. (2004). cotter, john.
    In: Applied Financial Economics.
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  47. Downside Risk for European Equity Markets. (2004). cotter, john.
    In: MPRA Paper.
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  48. Varying the VaR for Unconditional and Conditional Environments,. (2004). cotter, john.
    In: MPRA Paper.
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  49. The modelling of operational risk: experience with the analysis of the data collected by the Basel Committee. (2004). Moscadelli, Marco.
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  50. Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory. (2003). Odening, Martin ; Hinrichs, Jan.
    In: German Journal of Agricultural Economics.
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  51. The Pricing puzzle: The default term structure of collateralised loan obligations. (2002). Jobst, Andreas.
    In: CFS Working Paper Series.
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  52. Loan Securitisation: Default Term Structure and Asset Pricing Based on Loss Prioritisation. (2002). Jobst, Andreas.
    In: FMG Discussion Papers.
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  53. Loan securitisation: default term structure and asset pricing based on loss prioritisation. (2002). Jobst, Andreas.
    In: LSE Research Online Documents on Economics.
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  54. Die Quantifizierung von Marktrisiken in der Tierproduktion mittels Value-at-Risk und Extreme-Value-Theory. (2002). Odening, Martin ; Hinrichs, Jan.
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  55. ASSESSMENT OF MARKET RISK IN HOG PRODUCTION USING VALUE-AT-RISK AND EXTREME VALUE THEORY. (2002). Odening, Martin ; Hinrichs, Jan.
    In: 2002 Annual meeting, July 28-31, Long Beach, CA.
    RePEc:ags:aaea02:19907.

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  56. Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances. (2001). Suarez, R.
    In: MPRA Paper.
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  57. Managing Extreme Risks in Tranquil and Volatile Markets Using Conditional Extreme Value Theory. (2001). Byström, Hans.
    In: Working Papers.
    RePEc:hhs:lunewp:2001_018.

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  58. Value at risk models in finance. (2001). Manganelli, Simone ; Engle, Robert.
    In: Working Paper Series.
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  59. New Extreme-Value Dependence Measures and Finance Applications. (2001). Rockinger, Michael ; Poon, Ser-Huang ; Tawn, Jonathan .
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  60. Extreme Value Theory for Tail-Related Risk Measures. (2000). Gilli, Manfred ; Kellezi, Evis .
    In: FAME Research Paper Series.
    RePEc:fam:rpseri:rp18.

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  61. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

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  62. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Christoffersen, Peter.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:98-16.

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  63. How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis ; Christoffersen, Peter.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6844.

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  64. The New Basel Capital Accord and Questions for Research. (). Schuermann, Til ; Saidenberg, Marc ; May, .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:03-14.

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