Extreme value modelling for forecasting market crisis impacts

Applied Financial Economics

Volumn 20, Issue 1-2, 2010, Pages 63-72

  Zhao, Xin ^a   Scarrott, Carl ^a   Oxley, Les ^a   Reale, Marco ^a  

^a UNIVERSITY OF CANTERBURY   (New Zealand)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMIC IMPACT; FINANCIAL CRISIS; FINANCIAL MARKET; FORECASTING METHOD; NUMERICAL MODEL; PARAMETERIZATION; REGRESSION ANALYSIS; RISK ASSESSMENT; STOCK MARKET;

EID: 72149100990     PISSN: 09603107     EISSN: 14664305     Source Type: Journal    
DOI: 10.1080/09603100903262947     Document Type: Article

References (14)

1. Bali, T. G. and Weinbaum, D. (2007) A conditional extreme value volatility estimator based on high-frequency returns, Journal of Economic Dynamics and Control, 31, 361-97.
2. Behrens, C. N., Lopes, H. F. and Gamerman, D. (2004) Bayesian analysis of extreme events with threshold estimation, Statistical Modeling: An International Journal, 4, 227-44.
3. Beirlant, J., Goegebeur, Y., Segers, J. and Teugels, J. (2004) Statistics of Extremes: Theory and Applications, Wiley Series in Probability and Statistics, England.
4. Coles, S. and Tawn, J. A. (1996) A Bayesian analysis of extreme rainfall data, Applied Statistics, 45, 463-78.
5. Dupuis, D. J. (1998) Exceedances over high thresholds: a guide to threshold selection, Extremes, 1,251-61.
6. Frigessi, A., Haug, O. and Rue, H. (2002) A dynamic mixture model for unsupervised tail estimation without threshold selection, Extremes, 5, 219-35.
7. Gelman, A., Carlin, J. B., Stern, H. S. and Rubin, D. B. (2004) Bayesian Data Analysis, Chapman & Hall/CRC, Boca Raton.
8. Green, P. J. (1995) Reversible jump Markov chain Monte Carlo computation and Bayesian model determination, Biometrika, 82, 711-32.
9. McNeil, A. J. and Frey, R. (2000) Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach, Journal of Empirical Finance, 7, 271-300.
10. Pauli, F. and Coles, S. G. (2001) Penalized likelihood inference in extreme value theory, Journal of Applied Statistics, 28, 547-60.
11. Smith, R. L. (1989) Extreme value analysis of environmental time series: an application to trend detection in ground-level zone, Statistical Society, 3, 367-93.
12. Tancredi, A., Anderson, C. and O'Hagan, A. (2006) Accounting for threshold uncertainty in extreme value estimation, Extremes, 9, 87-106.
13. Zhao, X. (2009) Extreme value modelling with application in finance and neonatal research, PhD thesis (to be submitted), University of Canterbury, New Zealand.
14. Zhao, X., Scarrott, C. J., Reale, M. and Oxley, L. (2009) Extreme value GARCH modeling with Bayesian inference, in Proceedings of the 18th World IMACS/MODSIM Congress. Modelling and Simulation Society of Australia and New Zealand, pp. 1391-7.