Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/195837 
Year of Publication: 
2018
Citation: 
[Journal:] Risks [ISSN:] 2227-9091 [Volume:] 6 [Issue:] 2 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-16
Publisher: 
MDPI, Basel
Abstract: 
One of the key components of financial risk management is risk measurement. This typically requires modeling, estimating and forecasting tail-related quantities of the asset returns' conditional distribution. Recent advances in the financial econometrics literature have developed several models based on Extreme Value Theory (EVT) to carry out these tasks. The purpose of this paper is to review these methods.
Subjects: 
Extreme Value Theory
volatility
risk
quantile
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
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