Bivariate tail risk analysis for high-frequency returns via extreme value theory

2017 ◽  
Vol 12 (1) ◽  
pp. 1-14
Author(s):  
Mingyu Tang ◽  
Grant B. Weller
Keyword(s):  
Risk Analysis ◽  
Extreme Value Theory ◽  
High Frequency ◽  
Value Theory ◽  
Extreme Value ◽  
Tail Risk

scholarly journals Portfolio Tail Risk: A Multivariate Extreme Value Theory Approach

Entropy ◽  
2020 ◽  
Vol 22 (12) ◽  
pp. 1425
Author(s):  
Miloš Božović
Keyword(s):  
Extreme Value Theory ◽  
Value At Risk ◽  
Goodness Of Fit ◽  
Value Theory ◽  
Extreme Value ◽  
Theory Approach ◽  
Risk Modeling ◽  
Tail Risk ◽  
Goodness Of Fit Tests ◽  
Level Of Significance

This paper develops a method for assessing portfolio tail risk based on extreme value theory. The technique applies separate estimations of univariate series and allows for closed-form expressions for Value at Risk and Expected Shortfall. Its forecasting ability is tested on a portfolio of U.S. stocks. The in-sample goodness-of-fit tests indicate that the proposed approach is better suited for portfolio risk modeling under extreme market movements than comparable multivariate parametric methods. Backtesting across multiple quantiles demonstrates that the model cannot be rejected at any reasonable level of significance, even when periods of stress are included. Numerical simulations corroborate the empirical results.

scholarly journals An Application of Autoregressive Extreme Value Theory to Cryptocurrencies

2020 ◽  
pp. 1-8
Author(s):  
CHUN KWONG KOO ◽  
ARTUR SEMEYUTIN ◽  
CHI KEUNG MARCO LAU ◽  
JIAN FU
Keyword(s):  
Extreme Value Theory ◽  
High Frequency ◽  
Value Theory ◽  
Extreme Value ◽  
High Frequency Data ◽  
General Tendency ◽  
Frequency Data

We study the tails’ behavior of four major Cryptocurrencies (Bitcoin, Litecoin, Ethereum and Ripple) by employing the Autoregressive Fr´echet model for conditional maxima. Using five-minute-high-frequency data, we report time-evolving tails as well as provide a straightforward measure of tails asymmetry for positive and negative intra-day returns. We find that only Bitcoin has a notable more massive tail for positive returns asymmetry while the remaining three Cryptocurrencies have a general tendency towards more massive negative intra-day tails. All considered Cryptocurrencies depict lighter tails as the market matures.

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