Book of Donmon Teith

This paper combines a standard Generalized Autoregressive Conditional Heteroskedasticity [GARCH] model and Extreme Value Theory [EVT] in order to estimate Value

We proposed a method to estimate extreme conditional quantiles by combining quantile GARCH model of Xiao and Koenker (2009) and extreme value theory (EVT) appro

This study is an attempt to compare a comprehensive list of GARCH models in quantifying risks of VaR under stress times. We gather data of stock market indices

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching

We evaluate the performance of an extensive family of ARCH models in modeling daily Value-at-Risk (VaR) of perfectly diversified portfolios in five stock indice