Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-011-0261-0 ◽

2011 ◽

Vol 39 (4) ◽

pp. 447-468 ◽

Author(s):

Chun-Pin Hsu ◽

Chin-Wen Huang ◽

Wan-Jiun Paul Chiou

Keyword(s):

At Risk ◽

Emerging Markets ◽

Empirical Evidence ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Asian Emerging Markets

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Erratum to: Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-012-0283-2 ◽

2012 ◽

Vol 39 (4) ◽

pp. 469-469 ◽

Author(s):

Chun-Pin Hsu ◽

Chin-Wen Huang ◽

Wan-Jiun Paul Chiou

Keyword(s):

At Risk ◽

Emerging Markets ◽

Empirical Evidence ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Asian Emerging Markets

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Value-at-risk estimation with wavelet-based extreme value theory: Evidence from emerging markets

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2011.02.033 ◽

2011 ◽

Vol 390 (12) ◽

pp. 2356-2367 ◽

Author(s):

Atilla Cifter

Keyword(s):

At Risk ◽

Emerging Markets ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

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A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test

Multinational Finance Journal ◽

10.17578/7-1/2-1 ◽

2003 ◽

Vol 7 (1/2) ◽

pp. 3-23 ◽

Author(s):

Anthony J. Seymour ◽

◽

Daniel A. Polakow ◽

Keyword(s):

At Risk ◽

Emerging Markets ◽

South African ◽

Extreme Value Theory ◽

Value At Risk ◽

Risk Estimation ◽

Value Theory ◽

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Extreme value theory and Value-at-Risk: Relative performance in emerging markets

International Journal of Forecasting ◽

10.1016/j.ijforecast.2003.09.005 ◽

2004 ◽

Vol 20 (2) ◽

pp. 287-303 ◽

Author(s):

Ramazan Gençay ◽

Faruk Selçuk

Keyword(s):

At Risk ◽

Emerging Markets ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Relative Performance

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Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

SSRN Electronic Journal ◽

10.2139/ssrn.2009130 ◽

2012 ◽

Author(s):

Yi Ling Michelle-Joy Low

Keyword(s):

At Risk ◽

Comparative Study ◽

Extreme Value Theory ◽

Value At Risk ◽

Kernel Density ◽

Value Theory ◽

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Determining the premium of paddy insurance using the extreme value theory method and the operational value at risk approach

Journal of Physics Conference Series ◽

10.1088/1742-6596/1722/1/012059 ◽

2021 ◽

Vol 1722 ◽

pp. 012059

Author(s):

Riaman ◽

Sukono ◽

S Supian ◽

N Ismail

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Theory Method ◽

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Value At Risk Using Garch Volatility Models Augmented With Extreme Value Theory

Studies in Economics and Econometrics ◽

10.1080/10800379.2014.12097269 ◽

2014 ◽

Vol 38 (3) ◽

pp. 1-18

Author(s):

A. Dicks ◽

W.J. Conradie ◽

T. de Wet

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Volatility Models

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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory

SSRN Electronic Journal ◽

10.2139/ssrn.2147760 ◽

2011 ◽

Author(s):

Ryan Brauchler

Keyword(s):

At Risk ◽

Nonparametric Estimation ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Expected Shortfall

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Portfolio Value at Risk Bounds Using Extreme Value Theory

International Journal of Economics and Finance ◽

10.5539/ijef.v4n3p204 ◽

2012 ◽

Vol 4 (3) ◽

Author(s):

Skander Slim ◽

Imed Gammoudi ◽

Lotfi Belkacem

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

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Portfolio value-at-risk forecasting with GA-based extreme value theory

Expert Systems with Applications ◽

10.1016/j.eswa.2008.01.086 ◽

2009 ◽

Vol 36 (2) ◽

pp. 2503-2512 ◽

Author(s):

Ping-Chen Lin ◽

Po-Chang Ko

Keyword(s):

At Risk ◽

Extreme Value Theory ◽

Value At Risk ◽

Value Theory ◽

Extreme Value ◽

Risk Forecasting

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