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Search Results for Collection: Business Research Collection
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(Taylor & Francis, 2006-10)Extreme price movements associated with market crashes and booms have catastrophic repercussions for all investors and it is necessary to make accurate predictions of the frequency and severity of these events. This paper ...
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(Risk Magazine Limited, 2009-04)In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an ...
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(Elsevier Science, 2007-12)Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional ...
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(Elsevier, 2007-09)This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed ...
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(Routledge, 2004)This paper applies extreme value theory to measure downside risk for European equity markets. Two related measures, value at risk and the excess loss probability estimator provide a coherent approach to optimally protect ...
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(Routledge, 2005)This article uses Extreme Value Theory (EVT) to measure extreme risk in futures contracts with diverging underlying assets. The approach provides a framework for analysing the distributional properties of extreme returns. ...
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(Elsevier Science, 2006-12)This paper applies the extreme-value (EV) generalised pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators ...
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(Taylor & Francis, 2006)This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the pitfall ...
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(Taylor & Francis, 2005)This paper empirically analyses risk in the euro relative to other currencies. Comparisons are made between a subperiod encompassing the final transitional stage to full monetary union with a subperiod prior to this. ...
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(McGraw-Hill, 2009)