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Extreme value theory and Value-at-Risk: Relative performance in emerging markets

✍ Scribed by Ramazan Gençay; Faruk Selçuk

Book ID
113647707
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
308 KB
Volume
20
Category
Article
ISSN
0169-2070

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## Abstract This study develops a new conditional extreme value theory‐based (EVT) model that incorporates the Markov regime switching process to forecast extreme risks in the stock markets. The study combines the Markov switching ARCH (SWARCH) model (which uses different sets of parameters for var