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Applied Economics Letters Volume 12, 2005 - Issue 8
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Original Articles

Extreme risk in futures contracts

John Cotter
Pages 489-492 | Published online: 19 Aug 2006

Citations (5)

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Read on this site (2)

Yuan-Hung Hsu Ku & Jai Jen Wang. (2008) Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model – an empirical study on foreign exchange rates. Applied Economics Letters 15:7, pages 533-538.
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John Cotter. (2006) Modelling catastrophic risk in international equity markets: an extreme value approach. Applied Financial Economics Letters 2:1, pages 13-17.
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Articles from other publishers (3)

Roland Füss, Zeno Adams & Dieter G Kaiser. (2010) The predictive power of value-at-risk models in commodity futures markets. Journal of Asset Management 11:4, pages 261-285.
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John Cotter. (2005) Modelling Catastrophic Risk in International Equity Markets: An Extreme Value Approach. SSRN Electronic Journal.
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Marco Rocco. (2012) Extreme Value Theory for Finance: A Survey. SSRN Electronic Journal.
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