Forecasting Tail Risk Measures for Financial Time Series: An Extreme Value Approach With Covariates

SSRN Electronic Journal ◽

10.2139/ssrn.3891909 ◽

2021 ◽

Author(s):

Robert James ◽

Henry Leung ◽

Wai Yin Leung ◽

Artem Prokhorov

Keyword(s):

Time Series ◽

Financial Time Series ◽

Risk Measures ◽

Extreme Value ◽

Tail Risk ◽

Financial Time

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

Journal of Empirical Finance ◽

10.1016/s0927-5398(00)00012-8 ◽

2000 ◽

Vol 7 (3-4) ◽

pp. 271-300 ◽

Cited By ~ 825

Author(s):

Alexander J. McNeil ◽

Rüdiger Frey

Keyword(s):

Time Series ◽

Financial Time Series ◽

Risk Measures ◽

Extreme Value ◽

Financial Time ◽

Related Risk

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Efficient filtering of financial time series and extreme value theory

The Journal of Risk ◽

10.21314/jor.2005.107 ◽

2005 ◽

Vol 7 (2) ◽

pp. 63-84 ◽

Cited By ~ 4

Author(s):

Kaj Nyström ◽

Jimmy Skoglund

Keyword(s):

Time Series ◽

Extreme Value Theory ◽

Financial Time Series ◽

Value Theory ◽

Extreme Value ◽

Financial Time

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Adapting extreme value statistics to financial time series: dealing with bias and serial dependence

Finance and Stochastics ◽

10.1007/s00780-015-0287-6 ◽

2016 ◽

Vol 20 (2) ◽

pp. 321-354 ◽

Cited By ~ 7

Author(s):

Laurens de Haan ◽

Cécile Mercadier ◽

Chen Zhou

Keyword(s):

Time Series ◽

Financial Time Series ◽

Extreme Value ◽

Extreme Value Statistics ◽

Serial Dependence ◽

Financial Time

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Estimation of Market Risk Measures in Mexican Financial Time Series

Revista Mexicana de Economía y Finanzas ◽

10.21919/remef.v12i4.234 ◽

2017 ◽

Vol 12 (4) ◽

pp. 365-388

Author(s):

Alberto Saavedra Espinosa ◽

Keyword(s):

Time Series ◽

Financial Time Series ◽

Risk Measures ◽

Market Risk ◽

Financial Time

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How does innovation?s tail risk determine marginal tail risk of a stationary financial time series?

Science in China Series A Mathematics ◽

10.1360/02ys0317 ◽

2004 ◽

Vol 47 (3) ◽

pp. 321 ◽

Cited By ~ 1

Author(s):

Jiazhu PAN

Keyword(s):

Time Series ◽

Financial Time Series ◽

Tail Risk ◽

Financial Time

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Can we use Daily Internet Search Query Data to Improve Predicting Power of EGARCH Models for Financial Time Series Volatility?

International conference on Computer Science and Information Systems (ICSIS’2014) Oct 17-18, 2014 Dubai (UAE) ◽

10.15242/iie.e1014066 ◽

2014 ◽

Cited By ~ 2

Keyword(s):

Time Series ◽

Financial Time Series ◽

Internet Search ◽

Search Query ◽

Financial Time

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Forecasting Financial Time Series using a Hybrid Non-stationary Model with ANN

International Journal of Computer Sciences and Engineering ◽

10.26438/ijcse/v7i1.323326 ◽

2019 ◽

Vol 7 (1) ◽

pp. 323-326

Author(s):

D.K.Shetty . ◽

B.Ismail .

Keyword(s):

Time Series ◽

Financial Time Series ◽

Stationary Model ◽

Financial Time

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The Elusive Quest for Preserved Quantities in Financial Time Series: Making a Case for Intraday Trading Strategies

SSRN Electronic Journal ◽

10.2139/ssrn.2768923 ◽

2016 ◽

Author(s):

William Krivan

Keyword(s):

Time Series ◽

Financial Time Series ◽

Trading Strategies ◽

Financial Time

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Statistica Descriptivv a Seriilor De Timp Financiare (Descriptive Statistics of the Financial Time Series)

SSRN Electronic Journal ◽

10.2139/ssrn.2801838 ◽

2016 ◽

Author(s):

Razvan Stefanescu

Keyword(s):

Time Series ◽

Financial Time Series ◽

Descriptive Statistics ◽

Financial Time

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Two Pitfalls in Comparing Financial Time-Series

SSRN Electronic Journal ◽

10.2139/ssrn.3525617 ◽

2013 ◽

Author(s):

Enrico Schumann

Keyword(s):

Time Series ◽

Financial Time Series ◽

Financial Time

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