Now showing items 1-4 of 4

    • EVIM: a software package for extreme value analysis in MATLAB 

      Gençay, R.; Selçuk, F.; Ulugülyagci, A. (Walter de Gruyter GmbH, 2001)
      From the practitioners' point of view, one of the most interesting questions that tail studies can answer is what are the extreme movements that can be expected in financial markets? Have we already seen the largest ones ...
    • Extreme value theory and Value-at-Risk: relative performance in emerging markets 

      Gençay, R.; Selçuk, F. (Elsevier BV, 2004)
      In this paper, we investigate the relative performance of Value-at-Risk (VaR) models with the daily stock market returns of nine different emerging markets. In addition to well-known modeling approaches, such as ...
    • High volatility, thick tails and extreme value theory in value-at-risk estimation 

      Gençay, R.; Selçuk, F.; Ulugülyaǧci, A. (Elsevier BV, 2003)
      In this paper, the performance of the extreme value theory in value-at-risk calculations is compared to the performances of other well-known modeling techniques, such as GARCH, variance-covariance (Var-Cov) method and ...
    • Overnight borrowing, interest rates and extreme value theory 

      Gençay, R.; Selçuk, F. (Elsevier BV, 2006)
      We examine the dynamics of extreme values of overnight borrowing rates in an inter-bank money market before a financial crisis during which overnight borrowing rates rocketed up to (simple annual) 4000 percent. It is shown ...