Reference: | Coles, S., (2001), An introduction to statistical modeling of extreme values, Springer, London; New York Dacorogna, M., U. Müller, O. Pictet and C. de Vries, (1995), “The Distribution of Extremal Foreign Exchange Rate Returns in Extremely Large Data Sets”, Social Science Research Network. Danielsson, J. and C. de Vries, (2000), “Value-at-Risk and Extreme Returns”, Annales d`Economie et de Statistique, pp.239-270. De Haan, L. and S. Resnick, (1980), “A Simple Asymptotic Estimate for the Index of a Stable Distribution”, Journal of the Royal Statistical Society, Series B, 42(1), pp.83-87. Hill, B., (1975), “A Simple General Approach to Inference About the Tail of a Distribution”, Annuals of Statistics, 3(5), pp.1163-1174 Huisman, R., K. Koedijk, C. Kool and F. Palm, (1997), “Fat Tails in Small Samples”, Social Science Research Network. Huisman, R., K. Koedijk, C. Kool and F. Palm, (1998), “The Fat-Tailedness of FX Returns”, Social Science Research Network. Huisman, R., K. Koedijk and R. Pownall, (1998) “VaR-x: Fat Tails in Financial Risk Management”, Journal of Risk, 1, pp.47-62. Huisman, R., K. Koedijk, C. Kool and F. Palm, (2001), “Tail-Index Estimates in Small Samples”, Journal of Business & Economic Statistics, 19(2), pp.208-216 Jansen, D. and C. de Vries, (1991), “On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective”, The Review of Economics and Statistics, 73(1), pp.18-24 Jorion, P., (2001), Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill, New York Jondeau, E. and M. Rockinger, (2003), “Testing for differences in the tails of stock-market returns”, Journal of Empirical Finance, 10(5), pp.559-581 J. P. Morgan, (1996), RiskMetricsTM-Technical Document, Fourth Edition, New York Kearns, P. and A. Pagan, (1997), “Estimating the Density Tail Index for Financial Time Series”, The Review of Economics and Statistics, 79(2), pp.171-175 Koedijk, K. and R. Pownal, (1999), “Capturing Downside Risk in Financial Markets: the Case of the Asian Crisis”, Journal of International Money and Finance, 18, pp.853-870 Kupiec, P., (1995), “Techniques for Verifying the Accuracy of Risk Measurement Models”, Journal of Derivatives, 3, pp.73-84 Loretan, M. and P. Phillips, (1994), “Testing the Covariance Stationarity of Heavy-Tailed Time Series, Journal of Empirical Finance, 1(2), pp.211-248 Mason, D., (1982), “Law of Large Numbers for Sums of Extremes Values”, The Journal of Probability, 10(3), pp.754-764 McNeil, A., (1999), “Extreme Value Theory for Risk Managers”, ETH Zurich Pickands, J., (1975), “Statistical Inference Using Extreme Order Statistics”, The Annals of Statistics, 3(1), pp.119-131 Pictet, O., M. Dacorogna, and U. Müller, (1996), “Hill, Bootstrap and Jackknife Estimators for Heavy Tails”, Working Papers from Olsen and Associates. |