Metadata only
Date
2005Type
- Journal Article
ETH Bibliography
yes
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Abstract
We consider the modelling of extreme returns in financial time series, and introduce a marked point process model for the exceedances of a high threshold. This model has a self-exciting, Hawkes-process structure in which recent events affect the current intensity of threshold exceedances more than distant ones. Estimates of value-at-risk are derived for real datasets and the success of the estimation method is evaluated in backtests. Show more
Publication status
publishedExternal links
Journal / series
Quantitative FinanceVolume
Pages / Article No.
Publisher
Taylor & FrancisOrganisational unit
03590 - McNeil, Alexander
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ETH Bibliography
yes
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