Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2012.696679
Reference26 articles.
1. Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk
2. Disturbing extremal behavior of spot rate dynamics
3. A conditional extreme value volatility estimator based on high-frequency returns
4. Estimation of Value-at-Risk by extreme value and conventional methods: a comparative evaluation of their predictive performance
5. Conditional tail behaviour and Value at Risk
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