- Abbate, D., Farkas, W., Gourier, E. (2008). Operational risk quantification using extreme value theory and copulas: from theory to practice. Working Paper.
Paper not yet in RePEc: Add citation now
- Acerbi, C. (2004). Coherent representations of subjective risk-aversion. In G. Szegö (ed.). Risk Measures for the 21st Century. New York: Wiley, 147207.
Paper not yet in RePEc: Add citation now
Acerbi, C., and D. Tasche (2002). On the coherence of expected shortfall. Journal of Banking & Finance 26:14871503.
Acerbi, C., C. Nordio and C. Sirtori (2001). Expected shortfall as a tool for financial risk management. Working Paper.
Allen, L., and T. G. Bali (2007). Cyclicality in catastrophic and operational risk measurements . Journal of Banking & Finance 31:11911235.
Ané, T. (2006). Two-component extreme value distribution for Asia-Pacific stock index returns. International Journal of Theoretical and Applied Finance 9(5):643671.
Angelidis, T., A. Benos and S. Degiannakis (2007). A robust VaR model under different time periods and weighting schemes. Review of Quantitative Finance and Accounting 28(2):187201.
Artzner, P., F. Delbaen, J.-M. Eber and D. Heath (1999). Coherent measures of risk. Mathematical Finance 9:203228.
Arzac, E. R., and V. S. Bawa (1977). Portfolio choice and equilibrium in capital markets with safety-first investors. Journal of Financial Economics 4:277288.
- Bacmann, J.-F., and G. Gawron (2004). Fat tail risk in portfolios of hedge funds and traditional investments. Working Paper, RMF Investment Management.
Paper not yet in RePEc: Add citation now
- Bali, T. G. (2003a). An extreme value approach to estimating volatility and Value-atRisk . Journal of Business 76(1):83108.
Paper not yet in RePEc: Add citation now
Bali, T. G. (2003b). The generalized extreme value distribution. Economics Letters 79:423427.
Bali, T. G. (2007). A generalized extreme value approach to financial risk measurement. Journal of Money, Credit and Banking 39(7):16131649.
Bali, T. G., and S. N. Neftci (2003). Disturbing extremal behavior of spot rate dynamics. Journal of Empirical Finance 10:455477.
- Balkema, A. A., and L. de Haan (1974). Residual life at great age. Ann. Probab. 2:792 804.
Paper not yet in RePEc: Add citation now
- Balkema, G., A. A. Balkema and P. Embrechts (2007). High Risk Scenarios and Extremes. A Geometric Approach. Zurich: European Mathematical Society.
Paper not yet in RePEc: Add citation now
Bao, Y., T.-H. Lee and B. Saltolu (2006). Evaluating predictive performance of value-atrisk models in emerging markets: A reality check. Journal of Forecasting 25(2):101128.
- Barão, M. I., and J. A. Tawn (1999). Extremal analysis of short series with outliers: sea-levels and athletic records. App. Statist. 48(4):469487.
Paper not yet in RePEc: Add citation now
- Barone-Adesi, G., F. Bourgoin and K. Giannopoulos (1998). Don't look back. Risk 11:100103.
Paper not yet in RePEc: Add citation now
- Basle Committee on Banking Supervision (1995). An internal model-based approach to market risk capital requirements. Available at http://www. bis.org.
Paper not yet in RePEc: Add citation now
- Basle Committee on Banking Supervision (1996a). Overview of the Amendment to the Capital Accord to incorporate market risks. Available at http://www. bis.org.
Paper not yet in RePEc: Add citation now
- Basle Committee on Banking Supervision (1996b). Supervisory framework for the use of backtesting in conjunction with the internal models approach to market risk capital requirements. Available at http://www.bis.org.
Paper not yet in RePEc: Add citation now
- Beirlant, J., P. Vynckier and J. L. Teugels (1996). Tail index estimation, Pareto quantile plots and regression diagnostics. Journal of the American Statistical Association 91:1659 1667.
Paper not yet in RePEc: Add citation now
- Beirlant, J., W. Schoutens and J.J.J. Segers (2004). Mandelbrot's extremism. Discussion Paper 2004-125, Tilburg university, Center for Economic Research.
Paper not yet in RePEc: Add citation now
- Beirlant, J., Y. Goegebeur, J. Segers and J. Teugels (2004). Statistics of Extremes: Theory and Applications. Chichester (England): Wiley.
Paper not yet in RePEc: Add citation now
Bekiros, S. D., and D. A. Georgoutsos (2005). Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance. Int. Fin. Markets, Inst. and Money 15:209228.
Bekiros, S. D., and D. A. Georgoutsos (2008a). Extreme returns and the contagion effect between the foreign exchange and the stock market: evidence from Cyprus. Applied Financial Economics 18:239254.
Bekiros, S. D., and D. A. Georgoutsos (2008b). The extreme-value dependence of AsiaPacific equity markets. J. of Multi. Fin. Manag. 18:197208.
Bensalah, Y. (2000). Steps in applying extreme value theory to finance: A review. Bank of Canada Working Paper 200020.
Bensalah, Y. (2002). Asset allocation using extreme value theory. Bank of Canada Working Paper 20022.
Bollerslev, T., and V. Todorov (2009). Tails, fears and risk premia. CREATES Research Papers 200926, School of Economics and Management, University of Aarhus.
- Box, G., and D. Cox (1964). An analysis of transformations. Journal of the Royal Statistical Society B 26(2):211264.
Paper not yet in RePEc: Add citation now
- Bradley, B. O., and M. S. Taqqu (2004a). An extreme value theory approach to the allocation of multiple assets. International Journal of Theoretical and Applied Finance 7(8):10311068.
Paper not yet in RePEc: Add citation now
- Bradley, B. O., and M. S. Taqqu (2004b). Asset allocation when guarding against catastrophic losses: a comparison between the structure variable and joint probability methods. Quantitative Finance 4:619636.
Paper not yet in RePEc: Add citation now
Brooks, C., A. D. Clare, J. W. Dalle Molle and G. Persand (2005). A comparison of extreme value theory approaches for determining Value-at-Risk. Journal of Empirical Finance 12:339352.
Byström, H. N. E. (2004). Managing extreme risks in tranquil and volatile markets using conditional extreme value theory. International Review of Financial Analysis 13:133152.
Byström, H. N. E. (2005). Extreme value theory and extremely large electricity price changes. International Review of Economics and Finance 14:4155.
Byström, H. N. E. (2006). Using extreme value theory to estimate the likelihood of banking sector failure. The European Journal of Finance 12(4):303312.
- Byström, H. N. E. (2007). Back to the future: futures margins in a future credit default swap index futures market. The Journal of Futures Markets 27(1):85104.
Paper not yet in RePEc: Add citation now
Chan-Lau, J. A., S. Mitra, and L. L. Ong (2007). Contagion risk in the international banking system and implications for London as a global financial center. IMF Working Paper WP/07/74.
Chan, K. F., and P. Gray (2006). Using extreme value theory to measure value-at-risk for daily electricity spot prices. International Journal of Forecasting 22:283300.
Chapelle, A., Y. Crama, G. Hübner and J.-P. Peters (2008). Practical methods for measuring and managing operational risk in the financial sector: A clinical study. Journal of Banking & Finance 32:10491061.
Chavez-Demoulin, V., A. C. Davison and A. J. McNeil (2005). Estimating value-at-risk: A point process approach. Quantitative Finance 5(2):227234.
- Chavez-Demoulin, V., and P. Embrechts (2009). An EVT primer for credit risk. To appear in Lipton, A., and A. Rennie (eds.) (2010). Handbook of Credit Derivatives. Oxford University Press.
Paper not yet in RePEc: Add citation now
Christoffersen, P. F. (1998). Evaluating interval forecasts. International Economic Review 39:841862.
- Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. London: Springer.
Paper not yet in RePEc: Add citation now
Consigli, G. (2002). Tail estimation and meanVaR portfolio selection in markets subject to financial instability. Journal of Banking & Finance 26:13551382.
Cotter, J. (2001). Margin exceedances for European stock index futures using extreme value theory. Journal of Banking & Finance 25:14751502.
Cotter, J. (2004). Downside risk for European equity markets. Applied Financial Economics 14:707716.
Cotter, J. (2005). Extreme risk in futures contracts. Applied Economics Letters 12:489 492.
Cotter, J. (2006). Extreme value estimation of boom and crash statistics. The European Journal of Finance 12(67):553566.
Cotter, J. (2007a). Extreme risk in Asian equity markets. MPRA Paper 3536, University Library of Munich, Germany.
Cotter, J. (2007b).Varying the VaR for unconditional and conditional environments. Journal of International Money and Finance 26:13381354.
Cotter, J., and F. M. Longin (2006). Margin setting with high-frequency data. MPRA Paper 3528, University Library of Munich, Germany.
Cotter, J., and K. Dowd (2006). Extreme spectral risk measures: An application to futures clearinghouse margin requirements. Journal of Banking & Finance 30:34693485.
Cotter, J., and K. Dowd (2007). The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders. Finance Research Letters 4(3):146154.
- Dacorogna, M. M., U. A. Müller, O. V. Pictet and C. G. de Vries (2001). Extremal forex returns in extremely large data sets. Extremes 4:105127.
Paper not yet in RePEc: Add citation now
DanÃelsson, J. (2002). The emperor has no clothes: Limits to risk modelling. Journal of Banking & Finance 26:12731296.
- DanÃelsson, J., and C. G. de Vries (1997a). Tail index and quantile estimation with very high frequency data. Journal of Empirical Finance 4:241257.
Paper not yet in RePEc: Add citation now
DanÃelsson, J., and C. G. de Vries (1997b). Value-at-Risk and extreme returns. In P. Embrechts (ed.). Extremes and Integrated Risk Management. London: Risk Waters Group, 85106.
- DanÃelsson, J., and C. G. de Vries (2000). Value-at-Risk and extreme returns. Annales d'Économie et de Statistique 60:239270.
Paper not yet in RePEc: Add citation now
DanÃelsson, J., B. N. Jorgensen, G. Samorodnitsky, M. Sarma and C. G. de Vries (2011). Fat tails, VaR and subadditivity. Working Paper.
DanÃelsson, J., B. N. Jorgensen, M. Sarma and C. G. de Vries (2006). Comparing downside risk measures for heavy tailed distributions. Economics Letters 92:202208.
Dekkers, A. L. M., and L. de Haan (1989). A moment estimator for the index of an extreme-value distribution. The Annals of Statistics 17:17951832.
- Dekkers, A. L. M., J. H. J. Einmahl and L. de Haan (1989). On the estimation of the extreme-value index and large quantile estimation. The Annals of Statistics 17:18331855.
Paper not yet in RePEc: Add citation now
- Dell'Aquila, R., and P. Embrechts (2006). Extremes and robustness: a contradiction?. Financial Markets and Portfolio Management 20:103118.
Paper not yet in RePEc: Add citation now
Dewachter, H., and G. Gielens (1999). Setting futures margins: the extremes approach. Applied Financial Economics 9:173181.
- Dias, A., and P. Embrechts (2003). Dynamic copula models for multivariate high-frequency data in finance. Discussion paper, Department of Mathematics ETH Zurich.
Paper not yet in RePEc: Add citation now
Diebold, F. X., T. Schuermann and J. D. Stroughair (1998). Pitfalls and opportunities in the use of extreme value theory in risk management. In A.-P. N. Refenes, J.D. Moody and A.N. Burgess (eds.). Advances in Computational Finance, 312. Amsterdam: Kluwer. Reprinted in Journal of Risk Finance 1:3036.
- Dowd, K. (1998). Beyond Value-at-Risk: The new science of risk management. Chichester: Wiley.
Paper not yet in RePEc: Add citation now
- Dowd, K. (2002). Measuring Market Risk. New York: Wiley.
Paper not yet in RePEc: Add citation now
- Duffie, D., and J. Pan (1997). An overview of Value-at-Risk. Journal of Derivatives 7:7 49.
Paper not yet in RePEc: Add citation now
- DuMouchel, W. H. (1983). Estimating the stable index in order to measure tail thickness: A critique. The Annals of Statistics 11(4):10191031.
Paper not yet in RePEc: Add citation now
- Dutta, K., and J. Perry (2006). A tale of tails: An empirical analysis of loss distribution models for estimating operational risk capital. Working Papers 0613, Federal Reserve Bank of Boston.
Paper not yet in RePEc: Add citation now
Einmahl, J. H. J., and L. F. M. de Haan (2009). Estimating extreme bivariate quantile regions. Discussion Paper 200929, Tilburg University, Center for Economic Research.
Embrechts, P. (2009). Linear correlation and EVT: Properties and caveats. Journal of Financial Econometrics 7(1):3039.
- Embrechts, P., C. Klüppelberg and T. Mikosch (1997). Modelling Extremal Events for Insurance and Finance. Berlin: Springer.
Paper not yet in RePEc: Add citation now
- Embrechts, P., L. de Haan and X. Huang (2000). Modelling multivariate extremes. In P. Embrechts (ed.). Extremes and Integrated Risk Management. London: Risk Waters Group, 5967.
Paper not yet in RePEc: Add citation now
- Falk, M., J. Hüsler and R.-D. Reiss (2004). Laws of Small Numbers: Extremes and Rare Events. Basel: Birkhäuser.
Paper not yet in RePEc: Add citation now
Fama, E. F. (1963). Mandelbrot and the stable Paretian hypothesis. Journal of Business 35:42029.
- Fama, E. F. (1965). The behavior of stock market prices. The Journal of Business 38:34 105.
Paper not yet in RePEc: Add citation now
Fernandez, V. (2003). Extreme value theory and Value-at-Risk. Revista de Analisis Economico 18(1):5785.
Ferro, C. A. T., and J. Segers (2003). Inference for clusters of extreme values. J. R. Statist. Soc. B 65(2):545556.
- Finkenstädt, B., and H. Rootzén (2004). Extreme Values in Finance, Telecommunications and the Environment. Chapman & hall/CRC.
Paper not yet in RePEc: Add citation now
- Fisher, R. A., and L. H.C. Tippett (1928). Limiting forms of the frequency distribution of the largest or smallest member of a sample. Proceedings of the Cambridge Philosophical Society 24:18090.
Paper not yet in RePEc: Add citation now
- Galambos, J. (1987). The Asymptotic Theory of Extreme Order Statistics. Melbourne: Krieger.
Paper not yet in RePEc: Add citation now
- Galambos, J., J. Lechner and E. Simiu (eds.) (1994). Extreme value theory and Applications. 3 v. Dordrecht (The Netherlands): Kluwer.
Paper not yet in RePEc: Add citation now
- GarcÃa, A., and R. Gençay (2006). Risk-cost frontier and collateral valuation in securities settlement systems for extreme market events. Working Papers 0617, Bank of Canada.
Paper not yet in RePEc: Add citation now
- GarcÃa, A., and R. Gençay (2007). Managing adverse dependence for portfolios of collateral in financial infrastructures. Working Papers 07-25, Bank of Canada.
Paper not yet in RePEc: Add citation now
Garita, G., and C. Zhou (2009). Can open capital markets help avoid currency crises?. DNB Working Papers 205, Netherlands Central Bank, Research Department.
- Gawron, G. (2007). Tail risk of hedge funds: An extreme value application. Göttingen: Cuvillier.
Paper not yet in RePEc: Add citation now
Gençay, R., and F. Selçuk (2004). Extreme value theory and Value-at-Risk: Relative performance in emerging markets. International Journal of Forecasting 20:287303.
Gençay, R., and F. Selçuk (2006). Overnight borrowing, interest rates and extreme value theory. European Economic Review 50:547563.
Gençay, R., F. Selçuk and A. Ulugülyaci (2003). High volatility, thick tails and extreme value theory in value-at-risk estimation. Insurance: Mathematics and Economics 33:337 356.
Gilli, M., and E. Këllezi (2006). An application of extreme value theory for measuring financial risk. Computational Economics 27:207228.
- Gnedenko, B. V. (1943). Sur la distribution limite du terme maximum d'une serie aleatoire. Annals of Mathematics 44:42353.
Paper not yet in RePEc: Add citation now
- Goldberg, L.R., G. Miller and J. Weinstein (2008). Beyond Value-at-Risk: Forecasting portfolio loss at multiple horizons. Journal of Investment Management 6(2):126.
Paper not yet in RePEc: Add citation now
- Gumbel, E. J. (1958). Statistics of Extremes. New York: Columbia University Press.
Paper not yet in RePEc: Add citation now
Gupta, A., and B. Liang (2005). Do hedge funds have enough capital? A value-at-risk approach. Journal of Financial Economics 77:219253.
- Haan, L. de, and A. Ferreira (2006). Extreme value theory. An Introduction. New York: Springer.
Paper not yet in RePEc: Add citation now
- Haan, L. de, and S. I. Resnick (1980). A simple asymptotic estimate for the index of a stable distribution. Journal of the Royal Statistical Society B 42:8387.
Paper not yet in RePEc: Add citation now
Haan, L. de, S. I. Resnick, H. Rootzén and C. G. de Vries (1989). Extremal behaviour of solutions to a stochastic difference equation with applications to ARCH processes. Stoch. Process. Appl. 32:213224.
Haile, F. D., and S. Pozo (2006). Exchange rate regimes and currency crises: An evaluation using extreme value theory. Review of International Economics 14(4):554570.
Haile, F. D., and S. Pozo (2008). Currency crisis contagion and the identification of transmission channels. International Review of Economics and Finance 17:572588.
Hall, P. (1990). Using the bootstrap to estimate mean squared error and select smoothing parameter in nonparametric problems. Journal of Multivariate Analysis 32(2):177203.
Hartmann, P., S. Straetmans and C. de Vries (2004). Asset market linkages in crisis periods. The Review of Economics and Statistics 86(1):313326.
Hartmann, P., S. Straetmans and C. de Vries (2005). Banking system stability: A crossAtlantic perspective. Working Paper Series 527, European Central Bank.
Hauksson, H. A., M. Dacorogna, T. Domenig, U. Müller and G. Samorodnitsky (2001). Multivariate extremes, aggregation and risk estimation. Quantitative Finance 1:7995.
- Hill, B. M. (1975). A simple general approach to inference about the tail of a distribution. The Annals of Statistics 3:1163l174.
Paper not yet in RePEc: Add citation now
Ho, L.-C., P. Burridge, J. Cadle and M. Theobald (2000). Value-at-risk: Applying the extreme value approach to Asian markets in the recent financial turmoil. Pacific-Basin Finance Journal 8:249275.
Ho, T.-K. (2008). Extremal analysis of currency crises in Taiwan. Applied Economics 40:11751186.
- Holton, G. A. (2003). Value-at-risk: Theory and practice. San Diego: Academic Press.
Paper not yet in RePEc: Add citation now
- Hosking, J. R. M., J. R. Wallis and E. F. Wood (1985). Estimation of the generalized extreme-value distribution by the method of probability-weighted moments. Technometrics 27:251261.
Paper not yet in RePEc: Add citation now
Hsieh, P.-H. (2001). Modelling the frequency and severity of extreme exchange rate returns . J. Forecast. 20:485499.
- Huang, X. (1992). Statistics of bivariate extreme values. Ph.D. thesis, Tinbergen Institute Research Series, Erasmus University Rotterdam.
Paper not yet in RePEc: Add citation now
Huisman, R., K. G. Koedijk, C. J. M. Kool and F. Palm (2001). Tail-index estimates in small samples. Journal of Business & Economic Statistics 19(2):208216.
Hyung, N., and C. G. de Vries (2005). Portfolio diversification effects of downside risk. Journal of Financial Econometrics 3:107125.
Hyung, N., and C. G. de Vries (2007). Portfolio selection with heavy tails. Journal of Empirical Finance 14:383400.
Jalal, A., and M. Rockinger (2008). Predicting tail-related risk measures: The consequences of using GARCH filters for non-GARCH data. Journal of Empirical Finance 15:868877.
Jansen, D. W., and C. G. de Vries (1991). On the frequency of large stock returns: Putting booms and busts into perspective. The Review of Economics and Statistics 73(1):1824.
Jansen, D. W., K. G. Koedijk and C. G. de Vries (2000). Portfolio selection with limited downside risk. Journal of Empirical Finance 7:247269.
- Jenkinson, A. F. (1955). The frequency distribution of the annual maximum (or minimum) values of meteorological elements. Quarterly Journal of the Royal Meteorology Society 87:14558.
Paper not yet in RePEc: Add citation now
Jobst, A. (2007). Operational risk The sting is still in the tail but the poison depends on the dose. IMF Working Papers 07/239, International Monetary Fund.
Jondeau, E., and M. Rockinger (2003). Testing for differences in the tails of stock-market returns. Journal of Empirical Finance 10:559581.
- Jorion, P. (1997). Value-at-Risk: The new benchmark for controlling market risk. Chicago: McGraw-Hill.
Paper not yet in RePEc: Add citation now
Juri, A., and M. V. Wüthrich (2002). Copula convergence theorems for tail events. Insurance: Mathematics and Economics 30(3): 405420.
Kearns, P., and A. Pagan (1997). Estimating the density tail index for financial time series. The Review of Economics and Statistics 79(2):171175.
- Koedijk, K. G., M. M. A. Schafgans and C. G. de Vries (1990). The tail index of exchange rate returns. Journal of International Economics 29:93108.
Paper not yet in RePEc: Add citation now
Koedijk, K. G., P. A. Stork and C. G. de Vries (1992). Differences between foreign exchange rate regimes: the view from the tails. Journal of International Money und Finance 11:462 473.
- Koh, W., and D. Paxson (2007). Real extreme R&D discovery options. Bankers Markets & Investors 86.
Paper not yet in RePEc: Add citation now
- Kotz, S., and S. Nadarajah (2000). Extreme Value Distributions: Theory and Applications. London: Imperial College Press.
Paper not yet in RePEc: Add citation now
Krehbiel, T., and L. C. Adkins (2005). Price risk in the NYMEX energy complex: An extreme value approach. The Journal of Futures Markets 25(4):309337.
Krehbiel, T., and L. C. Adkins (2008). Extreme daily changes in U.S. Dollar London inter-bank offer rates. International Review of Economics and Finance 17:397411.
Kuester, K., S. Mittnik and M. S. Paolella (2006). Value-at-Risk prediction: A comparison of alternative strategies. Journal of Financial Econometrics 4(1):5389.
Kupiec, P. H. (1995). Techniques for verifying the accuracy of risk measurement models. Journal of Derivatives 3:7384.
- Leadbetter, M. R., G. Lindgren and H. Rootzén (1983). Extremes and Relates Properties of Random Sequences and Processes. Berlin: Springer.
Paper not yet in RePEc: Add citation now
- Ledford, A. W., and J. A. Tawn (1996). Statistics for near independence in multivariate extreme values. Biometrika 83:169187.
Paper not yet in RePEc: Add citation now
Ledford, A. W., and J. A. Tawn (2003). Diagnostics for dependence within time series extremes. J. R. Statist. Soc. B 65(2):521543.
Lee, T.-H., and B. Saltolu (2002). Assessing the risk forecasts for Japanese stock market. Japan and the World Economy 14:6385.
Lestano and J. P. A. M. Jacobs (2007). Dating currency crises with ad hoc and extreme value-based thresholds: East Asia 19702002 [Dating currency crises]. Int. J. Fin. Econ. 12:371388.
- Longin, F. M. (1999). Optimal margin level in futures markets: extreme price movements. The Journal of Futures Markets 19(2):127152.
Paper not yet in RePEc: Add citation now
Longin, F. M. (2000). From Value-at-Risk to stress testing: The extreme value approach. Journal of Banking & Finance 24:10971130.
Longin, F. M. (2005). The choice of the distribution of asset returns: How extreme value theory can help?. Journal of Banking & Finance 29:10171035.
Longin, F. M., and B. Solnik (2001). Extreme correlation of international equity markets. The Journal of Finance 56(2):649676.
- Longin, F.M., and B. Solnik (1997). Correlation structure of international equity markets during extremely volatile periods. Working Paper 97-039, ESSEC, Cergy-Pontoise, France.
Paper not yet in RePEc: Add citation now
- Loretan, M., and P. Phillips (1994). Testing the covariance structure of heavy-tailed time series. Journal of Empirical Finance 1:211248.
Paper not yet in RePEc: Add citation now
- Lux, T. (1996). The stable Paretian hypothesis and the frequency of large returns: An examination of major German stocks. Applied Financial Economics 6:463475.
Paper not yet in RePEc: Add citation now
- Lux, T. (2000). On moment condition failure in German stock returns: An application of recent advances in extreme value statistics. Empirical Economics 25:641652.
Paper not yet in RePEc: Add citation now
Lux, T. (2001). The limiting extremal behaviour of speculative returns: An analysis of intra-daily data from the Frankfurt Stock Exchange. Applied Financial Economics 11:299 315.
Mancini, L., and F. Trojani (2007). Robust Value-at-Risk prediction. Swiss Finance Institute Research Paper Series 0731.
Mandelbrot, B. B. (1963). The variation of certain speculative prices. Journal of Business 36:394419.
Mandelbrot, B. B. (1967). The variation of some other speculative prices. Journal of Business 40:393413.
- Manganelli, S., and R. Engle (2004). A comparison of Value-at-Risk models in finance. In G. Szegö (ed.). Risk Measures for the 21st Century. New York: Wiley.
Paper not yet in RePEc: Add citation now
Marimoutou, V., B. Raggad and A. Trabelsi (2009). Extreme value theory and Value-atRisk: Application to oil market. Energy Economics 31:519530.
Markose, S. M., and A. Alentorn (2005). The generalized extreme value (GEV) distribution, implied tail index and option pricing. Discussion Papers, University of Essex, Department of Economics.
- Markowitz, H. (1952). Portfolio selection. Journal of Finance 7:7791.
Paper not yet in RePEc: Add citation now
McNeil, A. J., and R. Frey (2000). Estimation of tail-related risk measures for heteroscedastic financial time series: An extreme value approach. Journal of Empirical Finance 7:271300.
- McNeil, A. J., R. Frey and P. Embrechts (2005). Quantitative Risk Management. Princeton (New Jersey): Princeton University Press.
Paper not yet in RePEc: Add citation now
- Mikosch, T., and C. Stric (2000). Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process. Annals of Statistics 28:14271451.
Paper not yet in RePEc: Add citation now
Moscadelli, M. (2004). The modelling of operational risk: Experience with the analysis of the data collected by the Basel Committee. Temi di discussione del Servizio Studi n. 517, Banca d'Italia.
- Neftci, S. N. (2000). Value-at-Risk calculations, extreme events, and tail estimation. Journal of Derivatives 7(3):2338.
Paper not yet in RePEc: Add citation now
Nielsson, U. (2009). Measuring and regulating extreme risk. Journal of Financial Regulation and Compliance 17(2): 156171.
Novak, S. Y., and J. Beirlant (2006). The magnitude of a market crash can be predicted. Journal of Banking & Finance 30:453462.
- Pais, A., and P. A. Stork (2009). Contagion risk across Real Estate firms and banks: An Australian and New Zealand analysis. Working Paper.
Paper not yet in RePEc: Add citation now
Panaretos, J., and Z. Tsourti (2003). Extreme value index estimators and smoothing alternatives: A critical review. MPRA Paper 6390, University Library of Munich, Germany.
Pearson, N. D., and C. Smithson (2002). VaR: The state of play. Review of Financial Economics 11:175189.
- Pickands, J. III (1975). Statistical inference using extreme order statistics. Ann. Statist. 3:119131.
Paper not yet in RePEc: Add citation now
Pictet, O. V., M. M. Dacorogna and U. A. Müller (1996). Hill, bootstrap and jackknife estimators for heavy tails. Working Paper 19961210, Olsen and Associates.
Pontines, V., and R. Siregar (2007). The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?. Japan and the World Economy 19:214235
Pontines, V., and R. Siregar (2008). Fundamental pitfalls of exchange market pressurebased approaches to identification of currency crises. International Review of Economics and Finance 17: 345365.
Poon, S.-H., M. Rockinger and J. Tawn (2004). Extreme value dependence in financial markets: diagnostics, models, and financial implications. The Review of Financial Studies 17(2):581610.
Pownall, R. A. J., and K. G. Koedijk (1999). Capturing downside risk in financial markets: the case of the Asian Crisis. Journal of International Money and Finance 18:853870.
Pozo, S., and C. Amuedo-Dorantes (2003). Statistical distributions and the identification of currency crises. Journal of International Money and Finance 22:591609.
Quintos, C., Z. Fan and P. C. B. Phillips (2001). Structural change tests in tail behaviour and the Asian crisis. The Review of Economic Studies 68(3):633663.
- Rachev, S. T. (ed.) (2003). Handbook of Heavy Tailed Distributions in Finance. Amsterdam: Elsevier.
Paper not yet in RePEc: Add citation now
- Rachev, S. T., S. V. Stoyanov and F. J. Fabozzi (2008). Advanced Stochastic Models, Risk Assessment and Portfolio Optimization: The Ideal Risk, Uncertainty and Performance Measures. Hoboken (New Jersey): Wiley.
Paper not yet in RePEc: Add citation now
- Reiss, R.-D., M. Thomas (1997). Statistical Analysis of Extreme Values with Applications in Finance, Hydrology and Other Fields. Basle: Birkhäuser.
Paper not yet in RePEc: Add citation now
- Resnick, S. I. (1987). Extreme Values, Regular Variation and Point Process. New York: Springer.
Paper not yet in RePEc: Add citation now
- Resnick, S. I. (2004). On the foundations of multivariate heavy-tail analysis. Journal of Applied Probability 41:191212.
Paper not yet in RePEc: Add citation now
- Resnick, S. I. (2007). Heavy-Tail Phenomena. New York: Springer.
Paper not yet in RePEc: Add citation now
- Roy, A. D. (1952). Safety first and the holding of assets. Econometrica 20:431449.
Paper not yet in RePEc: Add citation now
- Serguieva, A., S. Bozhkov and K. Yu (2009). Catastrophic and operational risk measurement for financial institutions. Working Paper.
Paper not yet in RePEc: Add citation now
- Smith, R. L. (1985). Maximum likelihood estimation in a class of non-regular cases. Biometrika 72:6790.
Paper not yet in RePEc: Add citation now
- Smith, R. L. (1987). Estimating tails of probability distributions. Annals of Statistics 15:11741207.
Paper not yet in RePEc: Add citation now
- Straetmans, S., and R. Versteeg (2009). The effect of capital controls on exchange rate risk. Working Paper.
Paper not yet in RePEc: Add citation now
Stric, C. (1999). Multivariate extremes for models with constant conditional correlations . Journal of Empirical Finance 6:515553.
- Sundmacher, M., and G. Ford (2007). When statistics fail: Extreme events in financial institutions. Working Paper.
Paper not yet in RePEc: Add citation now
Susmel, R. (2001). Extreme observations and diversification in Latin American emerging equity markets. Journal of International Money and Finance 20:971986.
Tolikas, K., A. Koulakiotis and R. A. Brown (2007). Extreme risk and Value-at-Risk in the German stock market. The European Journal of Finance 13(4):373395.
- Tsay, R. S. (2005). Analysis of Financial Time Series. Hoboken (New Jersey): WileyInterscience.
Paper not yet in RePEc: Add citation now
Vilasuso, J., and D. Katz (2000). Estimates of the likelihood of extreme returns in international stock markets. Journal of Applied Statistics 27(1):119130.
- Wagner, N. (2003). Estimating financial risk under time-varying extremal return behavior. OR Spectrum 25:317328.
Paper not yet in RePEc: Add citation now
Wagner, N. (2005). Autoregressive conditional tail behavior and results on Government bond yield spreads. International Review of Financial Analysis 14(2):247261.
Werner, T., and C. Upper (2004). Time variation in the tail behavior of bund future returns. The Journal of Futures Markets 24(4):387398.
White, H. (2000). A reality check for data snooping. Econometrica 68(5):10971126.
Yamai, Y., and T. Yoshiba (2005). Value-at-risk versus Expected Shortfall: A practical perspective. Journal of Banking & Finance 29:9971015.
Zhou, C. (2009a). Dependence structure of risk factors and diversification effects. DNB Working Papers 219, Netherlands Central Bank, Research Department.
Zhou, C. (2009b). Existence and consistency of maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis 100:794815.
Zhou, C. (2010). The extent of the maximum likelihood estimator for the extreme value index. Journal of Multivariate Analysis 101:971983.