A Coupling of Extreme-Value Theory and Volatility Updating with Value-at-Risk Estimation in Emerging Markets: A South African Test
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References listed on IDEAS
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- Timotheos Angelidis & Alexandros Benos, 2008. "Value-at-Risk for Greek Stocks," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 67-104, March-Jun.
- Ghorbel, Ahmed & Trabelsi, Abdelwahed, 2014. "Energy portfolio risk management using time-varying extreme value copula methods," Economic Modelling, Elsevier, vol. 38(C), pages 470-485.
- Timotheos Angelidis & Alexandros Benos & Stavros Degiannakis, 2007.
"A robust VaR model under different time periods and weighting schemes,"
Review of Quantitative Finance and Accounting, Springer, vol. 28(2), pages 187-201, February.
- Angelidis, Timotheos & Benos, Alexandros & Degiannakis, Stavros, 2007. "A Robust VaR Model under Different Time Periods and Weighting Schemes," MPRA Paper 80466, University Library of Munich, Germany.
- L. K. Hotta & E. C. Lucas & H. P Palaro, 2008. "Estimation of VaR Using Copula and Extreme Value Theory," Multinational Finance Journal, Multinational Finance Journal, vol. 12(3-4), pages 205-218, September.
- Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
- Turan Bali & Panayiotis Theodossiou, 2007. "A conditional-SGT-VaR approach with alternative GARCH models," Annals of Operations Research, Springer, vol. 151(1), pages 241-267, April.
- Goran Andjelic & Ivana Milosev & Vladimir Djakovic, 2010. "Extreme Value Theory In Emerging Markets," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 55(185), pages 63-106, April - J.
- Danai Likitratcharoen & Lucksuda Suwannamalik, 2024. "Assessing Financial Stability in Turbulent Times: A Study of Generalized Autoregressive Conditional Heteroskedasticity-Type Value-at-Risk Model Performance in Thailand’s Transportation Sector during C," Risks, MDPI, vol. 12(3), pages 1-20, March.
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More about this item
Keywords
backtesting; extreme value theory; GARCH; historical simulation; RiskMetrics; value-at-risk;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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