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Risks 2018, 6(2), 45;

Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

Department of Economics and Management, University of Trento, via Inama 5, 38122 Trento, Italy
Department of Mathematical Sciences, Mathematical Finance and Econometrics, Università Cattolica del Sacro Cuore, Largo Gemelli 1, 20123 Milano, Italy
Author to whom correspondence should be addressed.
Received: 6 April 2018 / Revised: 19 April 2018 / Accepted: 20 April 2018 / Published: 24 April 2018
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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. View Full-Text
Keywords: Extreme Value Theory; volatility; risk; quantile Extreme Value Theory; volatility; risk; quantile

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Bee, M.; Trapin, L. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review. Risks 2018, 6, 45.

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