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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: Center for Financial Institutions Working Papers.
RePEc:wop:pennin:98-10.

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  2. Return and volatility properties: Stylized facts from the universe of cryptocurrencies and NFTs. (2023). Zulfiqar, Noshaba ; Wee, Jung Bum ; Bouri, Elie ; Ghosh, Bikramaditya.
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  3. Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun.
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  4. Risk quantification in turmoil markets. (2017). Mora-Valencia, Andrés ; Garcia-Donato, Gonzalo ; Diaz, Antonio.
    In: Risk Management.
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  5. Tail Risk Dynamics in Stock Returns: Links to the Macroeconomy and Global Markets Connectedness. (2017). Massacci, Daniele.
    In: Management Science.
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  6. Extreme asymmetric volatility: Stress and aggregate asset prices. (2016). Wagner, Niklas ; Aboura, Sofiane.
    In: Journal of International Financial Markets, Institutions and Money.
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  7. 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.
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  8. Extreme Value Theory: An Application to the Peruvian Stock Market Returns. (2014). Rodríguez, Gabriel ; Vela, Alfredo Calderon ; Rodriguez, Gabriel.
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  9. 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.
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  10. Extreme-quantile tracking for financial time series. (2014). Embrechts, P. ; Chavez-Demoulin, V. ; Sardy, S..
    In: Journal of Econometrics.
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  11. 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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  12. 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 .
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  13. 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).
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  14. 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).
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  15. 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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  16. 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 .
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  17. 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.
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  18. Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2012). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia .
    In: Documentos de Trabajo del ICAE.
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  19. Extreme downside risk and expected stock returns. (2012). Wu, Feng ; Huang, Wei ; Liu, Qianqiu ; Rhee, Ghon S..
    In: Journal of Banking & Finance.
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  20. The Extreme Value Theory and Copulas as a Tool to Measure Market Risk. (2012). Avdulaj, Krenar.
    In: Bulletin of the Czech Econometric Society.
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  21. Currency Hedging Strategies Using Dynamic Multivariate GARCH. (2011). Jimenez-Martin, Juan ; Chang, Chia-Lin ; Gonzalez-Serrano, Lydia .
    In: Documentos de Trabajo del ICAE.
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  22. GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies. (2011). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
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  23. Varying the VaR for Unconditional and Conditional Environments. (2011). cotter, john.
    In: Working Papers.
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  24. 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..
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  25. 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 .
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  26. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
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  27. Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances. (2009). Suarez, Ronny.
    In: MPRA Paper.
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  28. Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets. (2009). Žiković, Saša ; Filer, Randall ; Zikovic, Sasa .
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  29. VaR and Liquidity Risk.Impact on Market Behaviour and Measurement Issues.. (2008). Erzegovesi, Luca.
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  30. A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL. (2007). d'Addona, Stefano ; Rachev, Svetlozar T ; Marinelli, Carlo .
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  31. A Generalized Extreme Value Approach to Financial Risk Measurement. (2007). Bali, Turan G.
    In: Journal of Money, Credit and Banking.
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  32. Robust Value at Risk Prediction. (2007). Trojani, Fabio ; Mancini, Loriano.
    In: University of St. Gallen Department of Economics working paper series 2007.
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  33. A Robust VaR Model under Different Time Periods and Weighting Schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
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  34. Predictive Performance of Conditional Extreme Value Theory and Conventional Methods in Value at Risk Estimation. (2007). GHORBEL, Ahmed ; Trabelsi, Abdelwahed.
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  35. A robust VaR model under different time periods and weighting schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
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  36. 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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  37. 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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  38. Varying the VaR for unconditional and conditional environments. (2007). cotter, john.
    In: Journal of International Money and Finance.
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  39. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
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  40. Extreme Value Estimation of Boom and Crash Statistics. (2006). cotter, john.
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  41. An Application of Extreme Value Theory for Measuring Financial Risk. (2006). Gilli, Manfred.
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  42. Extremal financial risk models and portfolio evaluation. (2006). Huang, James ; Zhang, Zhengjun.
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  43. Risk premium: insights over the threshold. (2006). Hasman, Augusto ; Pea, Juan Ignacio ; Jose L. B. Fernandes, .
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  44. 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.
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  45. Risk Premium: Insights Over The Threshold. (2006). Hasman, Augusto ; Pea, Juan Ignacio ; Jose L. B. Fernandes, .
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  46. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  48. Practical Volatility and Correlation Modeling for Financial Market Risk Management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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  51. Downside Risk for European Equity Markets. (2004). cotter, john.
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  52. Varying the VaR for Unconditional and Conditional Environments,. (2004). cotter, john.
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  59. Improving Modeling of Extreme Events using Generalized Extreme Value Distribution or Generalized Pareto Distribution with Mixing Unconditional Disturbances. (2001). Suarez, R.
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  65. Horizon Problems and Extreme Events in Financial Risk Management. (1998). Schuermann, Til ; Diebold, Francis ; Christoffersen, Peter.
    In: Center for Financial Institutions Working Papers.
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  66. How Relevant is Volatility Forecasting for Financial Risk Management?. (1998). Diebold, Francis ; Christoffersen, Peter.
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  67. The New Basel Capital Accord and Questions for Research. (). Schuermann, Til ; Saidenberg, Marc ; May, .
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