Managing extreme risks in tranquil and volatile markets using conditional extreme value theory-Reference-Cited by-同舟云学术

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Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

Published:2004-06 Issue:2 Volume:13 Page:133-152
ISSN:1057-5219
Container-title:International Review of Financial Analysis
language:en
Short-container-title:International Review of Financial Analysis

Author:

Byström Hans N.E.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference16 articles.

1. Stock returns and volatility;Baillie;Journal of Financial and Quantitative Analysis,1990

2. Residual life time at great age;Balkema;Annals of Probability,1974

3. Generalized autoregressive conditional heteroskedasticity;Bollerslev;Journal of Econometrics,1986

4. Pitfalls and opportunities in the use of extreme value theory in risk management;Diebold;Journal of Risk Finance,2000

5. Modelling extremal events;Embrechts,1997

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