Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications-Reference-Cited by-同舟云学术

Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications

Published:2003-10-15 Issue:2 Volume:17 Page:581-610
ISSN:0893-9454
Container-title:Review of Financial Studies
language:en
Short-container-title:Rev. Financ. Stud.

Author:

Poon Ser-Huang,Rockinger Michael,Tawn Jonathan

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

Link

http://academic.oup.com/rfs/article-pdf/17/2/581/5444199/hhg058.pdf

Reference81 articles.

1. Andreasen, J., 2001, “Credit Explosive”, working paper, Bank of America, London.

2. Coherent Measures of Risk

3. Bakshi, G., and C. Cao, 2002, “Risk-Neutral Kurtosis, Jumps and Option Pricing: Evidence from 100 Most Actively Traded Firms on the CBOE,” working paper, University of Maryland.

4. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices

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