Purpose–The purpose of this paper is to use filtered extreme‐value theory (EVT) model to
forecast one of the main emerging market stock returns and compare the predictive …

Bu makale Türk parası cinsinden bir yıllık bileşik faiz oranlarına ilişkin riske maruz değeri
normal GARCH, asimterik dağılımlı GARCH, sabit ve değişken eşikli Genelleştiriliş Pareto …

Bu çalışmanın amacı, riske maruz uç değer teorisi, parametrik olmayan volatilite
modellemesi, genelleştirilmiş pareto dağılımı, dalgacıklar DALGACIK BAZLI UÇ DEĞER …

The Financial Crisis of 2008 is a worldwide financial crisis causing a worldwide economic
decline that is the most severe since the 1930s. According to the International Monetary …

Extreme returns in stock returns need to be captured for a successful risk management
function to estimate unexpected loss in portfolio. Traditional value-at-risk models based on …

O objectivo principal deste trabalho é realçar a importância da Teoria de Valores Extremos
na quantificação do risco, condicionalmente a um estado extremo do clima. São …

This research has been conducted to estimate the Value at Risk of nations and volatility of
returns of indices by using GARCH based models in the emerging equity markets of the …

In this paper, a theory of different stability concepts is developed including α-stability, max-
stability and pot-stability. Special cases of stable distributions are introduced with some …