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

135 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Extreme Value Theory for Finance: A Survey (2012, background): “Further applications can be found in Bali (2007), Bali and Neftci (2003), Byström (2004, 2005), Cotter (2007a, 2007b), Krehbiel and Adkins (2005), Kuester et al. (2006), Lestano and Jacobs (2007).”
A comprehensive review of Value at Risk methodologies (2014, methodology): “, 2004; Chen et al., 2011). Fleming and Kirby (2003) compared a GARCH model with a SV model. They found that both models had comparable performances in terms of VaR. Lehar et al. (2002) compared option pricing models in terms of VaR using two family models: GARCH and SV.”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, methodology): “Following Byström (2005), this study adopts the EVT approach of McNeil and Frey (2000) to measure VaR for electricity returns.”