Add to ORKGThe purpose of the paper is to show some methods of extreme value theory through analysis of Pakistani nancial data. It also in- troduced the fundamental of extreme value theory as well as practical aspects for estimating and assessing nancial models for tail related risk measures
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Cataloged from PDF version of article.In this paper, we investigate the relative performance of Valu...
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakista...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
International audienceExtreme value theory has been widely applied in insurance and finance to model...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
In this paper, the performance of the extreme value theory in value-at-risk calculations is compared...
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting ...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Cataloged from PDF version of article.In this paper, we investigate the relative performance of Valu...
The purpose of the paper is to show some methods of extreme value theory through analysis of Pakista...
Assessing the probability of rare and extreme events is an important issue in the risk management of...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
International audienceExtreme value theory has been widely applied in insurance and finance to model...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
In this paper, the performance of the extreme value theory in value-at-risk calculations is compared...
This study applies Extreme Value Theory in calculating Value-at-Risk (VaR) of portfolios consisting ...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Cataloged from PDF version of article.In this paper, we investigate the relative performance of Valu...