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
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outlier...
This article reviews methods from extreme value analysis with applications to risk assessment in fin...
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...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
International audienceExtreme value theory has been widely applied in insurance and finance to model...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
In this paper, the performance of the extreme value theory in value-at-risk calculations is compared...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outlier...
This article reviews methods from extreme value analysis with applications to risk assessment in fin...
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...
port from the Swiss National Science Foundation (project 12–5248.97) is gratefully acknowledged. Man...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
Many fields of modern science and engineering have to deal with events which are rare but have signi...
Extreme price movements associated with tail returns are catastrophic for all investors and it is ne...
International audienceExtreme value theory has been widely applied in insurance and finance to model...
The phenomenon of high volatility in financial markets stemming from the increased complexity of fin...
All in-text references underlined in blue are linked to publications on ResearchGate, letting you ac...
The phenomenon of the occurrence of rare yet extreme events, “Black Swans ” in Taleb’s ter-minology,...
In this paper, the performance of the extreme value theory in value-at-risk calculations is compared...
This paper presents two applications of Extreme Value Theory (EVT) to financial markets: computation...
Extreme value theory (EVT) deals with extreme (rare) events, which are sometimes reported as outlier...
This article reviews methods from extreme value analysis with applications to risk assessment in fin...