Advanced search
Publication Cover
Quantitative Finance Volume 14, 2014 - Issue 2: Themed Issue on Pensions and Insurance
Submit an article Journal homepage
412
Views
7
CrossRef citations to date
0
Altmetric
Research Papers

Estimation of tail-related value-at-risk measures: range-based extreme value approach

Heng-Chih Chou Department of Shipping and Transportation Management, National Taiwan Ocean University, Keelung, Taiwan
&
David K. Wang Department of Finance, National University of Kaohsiung, Kaohsiung, TaiwanCorrespondence[email protected]
Pages 293-304 | Received 25 May 2010, Accepted 11 Jun 2013, Published online: 11 Sep 2013

Citations (7)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (2)

Gourab Chakraborty, G. R. Chandrashekhar & G. Balasubramanian. (2021) Measurement of extreme market risk: Insights from a comprehensive literature review. Cogent Economics & Finance 9:1.
Read now
Felix Scheller & Benjamin R. Auer. (2018) How does the choice of Value-at-Risk estimator influence asset allocation decisions?. Quantitative Finance 18:12, pages 2005-2022.
Read now

Articles from other publishers (5)

Thabani Ndlovu & Delson Chikobvu. (2023) The Generalised Pareto Distribution Model Approach to Comparing Extreme Risk in the Exchange Rate Risk of BitCoin/US Dollar and South African Rand/US Dollar Returns. Risks 11:6, pages 100.
Crossref
Delson Chikobvu & Thabani Ndlovu. (2023) The Generalised Extreme Value Distribution Approach to Comparing the Riskiness of BitCoin/US Dollar and South African Rand/US Dollar Returns. Journal of Risk and Financial Management 16:4, pages 253.
Crossref
Ying Li, Jin Liu, Lianru Zeng, Yang Peng & John Thomas Delaney. 2022. Proceedings of the Sixteenth International Conference on Management Science and Engineering Management – Volume 1. Proceedings of the Sixteenth International Conference on Management Science and Engineering Management – Volume 1 136 159 .
Yan Chen & Wenqiang Yu. (2020) Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory. Physica A: Statistical Mechanics and its Applications 544, pages 123207.
Crossref
Haibin Xie. (2018) Financial volatility modeling: The feedback asymmetric conditional autoregressive range model. Journal of Forecasting 38:1, pages 11-28.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.