Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

[1]  J. Corcoran.  Modelling Extremal Events for Insurance and Finance , 2002 .

[2]  F. Longin.  Beyond the VaR , 2001 .

[3]  Jón Dańıelsson,et al.  The Cost of Conservatism: , 2000 .

[4]  Philippe Artzner,et al.  Coherent Measures of Risk , 1999 .

[5]  S. Resnick,et al.  Extreme Value Theory as a Risk Management Tool , 1999 .

[6]  S. Resnick,et al.  Tail Index Estimation for Dependent Data , 1998 .

[7]  Til Schuermann,et al.  Horizon Problems and Extreme Events in Financial Risk Management , 1998 .

[8]  F. Diebold,et al.  Pitfalls and Opportunities in the Use of Extreme Value Theory in Risk Management , 1998 .

[9]  Jon Danielsson,et al.  Beyond the Sample: Extreme Quantile and Probability Estimation , 1998 .

[10]  Jon Danielsson,et al.  The Cost of Conservatism : Extreme Returns , Value-at-Risk , and the Basle ‘ Multiplication Factor ’ , 1998 .

[11]  A. McNeil,et al.  The Peaks over Thresholds Method for Estimating High Quantiles of Loss Distributions , 1998 .

[12]  Alexander J. McNeil,et al.  Calculating quantile risk measures for financial return series using extreme value theory , 1998 .

[13]  F. Longin,et al.  From value at risk to stress testing : The extreme value approach Franc ß ois , 2000 .

[14]  Jin-Chuan Duan,et al.  Augmented GARCH (p,q) process and its diffusion limit , 1997 .

[15]  Jón Dańıelsson,et al.  Tail Index and Quantile Estimation with Very High Frequency Data , 1997 .

[16]  M. Dacorogna,et al.  Volatilities of different time resolutions — Analyzing the dynamics of market components , 1997 .

[17]  D. Cox,et al.  Time series models : in econometrics, finance and other fields , 1997 .

[18]  A. McNeil.  Estimating the Tails of Loss Severity Distributions Using Extreme Value Theory , 1997, ASTIN Bulletin.

[19]  C. Gouriéroux.  ARCH Models and Financial Applications , 1997 .

[20]  D. Duffie,et al.  An Overview of Value at Risk , 1997 .

[21]  R. Udiger Frey.  Derivative Asset Analysis in Models with Level-dependent and Stochastic Volatility , 1997 .

[22]  Adrian Pagan,et al.  The econometrics of financial markets , 1996 .

[23]  N. Shephard.  Statistical aspects of ARCH and stochastic volatility , 1996 .

[24]  N. L. Johnson,et al.  Continuous Univariate Distributions. , 1995 .

[25]  S. Resnick,et al.  Consistency of Hill's estimator for dependent data , 1995, Journal of Applied Probability.

[26]  PAUL EMBRECHTS,et al.  Modelling of extremal events in insurance and finance , 1994, Math. Methods Oper. Res..

[27]  R. Chou,et al.  ARCH modeling in finance: A review of the theory and empirical evidence , 1992 .

[28]  D. Reeve,et al.  Scale models. , 1991, The Health service journal.

[29]  Richard L. Smith.  Estimating tails of probability distributions , 1987 .

[30]  A. Brandt.  The stochastic equation Yn+1=AnYn+Bn with stationary coefficients , 1986 .

[31]  B. M. Hill,et al.  A Simple General Approach to Inference About the Tail of a Distribution , 1975 .

[32]  J. Pickands.  Statistical Inference Using Extreme Order Statistics , 1975 .

[33]  L. Haan,et al.  Residual Life Time at Great Age , 1974 .

[34]  W. Feller,et al.  An Introduction to Probability Theory and its Applications , 1958 .

[35]  B. Gnedenko.  Sur La Distribution Limite Du Terme Maximum D'Une Serie Aleatoire , 1943 .