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Managing extreme risks in tranquil and volatile markets using conditional extreme value theory

✍ Scribed by Hans N.E. Byström

Book ID
116577191
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
230 KB
Volume
13
Category
Article
ISSN
1057-5219

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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