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

By Ramazan Gencay, F. Selçuk. 2004

447 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/55b0a6ca93de5a87df84dab1ebf7fd9b2b6e7911

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Citations in the corpus

Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, methodology): “Ho, Burridge, Cadle, and Theobald (2000) and Gençay and Selçuk (2004) apply EVT to emerging stock markets which have been affected by a recent financial crisis.”
Extreme Value Theory for Finance: A Survey (2012, background): “See for instance Bao et al. (2006), Bali (2007), Bekiros and Georgoutsos (2005), Brooks et al. (2005), Gençay and Selçuk (2004), Ho et al. (2000), Kuester et al. (2006), Lee and Saltoğlu (2002), Manganelli and Engle (2004), Tolikas et al. (2007).”
The Impact of Terrorism on Financial Markets: An Empirical Study (2011, methodology): “ture (power plants, nuclear facilities, chemical factories, bridges, pipelines and water supply), increased financial instability, destruction in market infrastructure and operations and decrease in investor confidence (see Johnston and Nedelescu (2005), Bonturi, Koen, and Lenain (2002), Abadie and ”
Extreme Value Theory and Value at Risk : Application to Oil Market (2009, background): “Such fields range from hydrology (Davison and Smith, 1990; Katz et al.; 2002) to insurance (McNeil, 1997; Rootzen and Tajvidi, 1997) and finance (Danielsson and de Vries, 1997; McNeil, 1998; Embrechts, 1999; Gençay and Selçuk, 2004).”
Developing a stress testing framework based on market risk models (2008, background): “Again, for reasons of space results are shown for only three of the six currency pairs. pared with those observed in other markets by authors such as Gencay and Selcuk (2004).”
Hybrid Historical Simulation VaR and ES: Performance in Developed and Emerging Markets (2009, unknown): “Gencay, Selcuk, and Ulugulyagci (2003) and Gencay and Selcuk (2004) analyzed the performance of unconditional Extreme Value Theory (EVT) models against variance-covariance and historical simulation models in nine emerging countries.”
Frontiers in VaR forecasting and backtesting (2016, methodology): “First of all, note that, regardless of whether the VaR is computed using GPD or Hill, the risk is larger when the threshold is chosen implementing the procedure proposed by Gencay and Selcuk (2004).”
Empirical study of value‐at‐risk and expected shortfall models with heavy tails (2006, unknown): “compared EVT models with GARCH, historical simulation and variance-covariance approaches using Istanbul Stock Exchange Index (ISE-100)and SP Genc¸ay and Selc¸uk (2004)”