High volatility, thick tails and extreme value theory in value-at-risk estimation

By Ramazan Gencay, F. Selçuk, Abdurrahman Ulugülyaǧci. 2003

201 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ffa5572dbb176ab6a45637215b6ef968b375c55b

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Citations in the corpus

Extreme value theory and Value-at-Risk: Relative performance in emerging markets (2004, background): “However, as reported in Genc ay et al. (2003), one period ahead estimated returns from GARCH models were extremely volatile without having any significant gain over other models in terms of forecast precision.”
An Application of Extreme Value Theory for Measuring Financial Risk (2006, methodology): “5 Other software for extreme value analysis can be found at www.math.ethz.ch/ ∼mcneil/software.html or in Gençay et al. (2003a).”
Extreme Value Theory and Value at Risk : Application to Oil Market (2009, methodology): “As documented by McNeil and Frey (2000) and Gençay et al. (2003), within the backtest period, it is practically impossible to examine the fitted model carefully every day and to choose the best parameterization, so suppose that the AR(1)GARCH(1,1) specification is adequate on each rolling window.”
A comprehensive review of Value at Risk methodologies (2014, background): “0% if we consider that the differnces between ETV and FHS are almost imperceptible in the paper f Giamouridis and Ntoula (2009), as the authors underline.”
Empirical study of value‐at‐risk and expected shortfall models with heavy tails (2006, unknown): “studied the changes in US Treasury yields and indicated that the extremes are not normally distributed; Gencay et al. (2003)”
Using extreme value theory to measure value-at-risk for daily electricity spot prices (2006, background): “Gençay, Selçuk, and Ulugülyaĝci (2003) reach similar conclusions for the Istanbul Stock Exchange Index (ISE-100).”
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.”