Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach

@article{McNeil2000EstimationOT,
  title={Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach},
  author={Alexander J. McNeil and R{\"u}diger Frey},
  journal={Journal of Empirical Finance},
  year={2000},
  volume={7},
  pages={271-300}
}
  • A. McNeil, R. Frey
  • Published 1 November 2000
  • Economics
  • Journal of Empirical Finance
We propose a method for estimating Value at Risk VaR and related risk measures describing the tail of the conditional distribution of a heteroscedastic financial return series. Our approach combines pseudo-maximum-likelihood fitting of GARCH models to estimate . the current volatility and extreme value theory EVT for estimating the tail of the innovation distribution of the GARCH model. We use our method to estimate conditional . quantiles VaR and conditional expected shortfalls the expected… Expand

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