Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)-Reference-Cited by-同舟云学术

Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)

Published: Issue: Volume: Page:47-71
ISSN:
Container-title:Computational Methods in Financial Engineering
language:
Short-container-title:

Author:

Alentorn Amadeo,Markose Sheri

Publisher

Springer Berlin Heidelberg

Link

http://link.springer.com/content/pdf/10.1007/978-3-540-77958-2_3.pdf

Reference41 articles.

1. Ait-Sahalia, Y. and Lo, A.W.: 2000, Nonparametric risk management and implied risk aversion, Journal of Econometrics 94, 9–51.

2. Alentorn, A.: 2007, Option pricing with the generalized extreme value distribution and applications, PhD thesis, University of Essex.

3. Alentorn, A. and Markose, S.: 2006, Removing maturity effects of implied risk neutral densities and related statistics, Discussion Paper 609, Department of Economics, University of Essex.

4. Bali, T.G.: 1991, The generalized extreme value distribution, Economics Letters 79, 423–427.

5. Basel Committee on Banking Supervision: 1996, Amendment to the Capital Accord to Incorporate Market Risks.

Cited by 6 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. GEV Analysis of Extreme Rainfall: Comparing Different Time Intervals to Analyse Model Response in Terms of Return Levels in the Study Area of Central Italy;Sustainability;2023-07-28

2. MODELAGEM PROBABILÍSTICA DE PREÇOS MÁXIMOS DA COMMODITY BOI GORDO PARA O ESTADO DE SÃO PAULO;Nativa;2022-03-14

3. Comparison of robust logistic regression estimators for variables with generalized extreme value distributions;Model Assisted Statistics and Applications;2021-08-27

4. Stock market tail risk, tail risk premia, and return predictability;Journal of Futures Markets;2021-06-30

5. Forecasting market risk using ultra-high-frequency data and scaling laws;Quantitative Finance;2018-04-25