I thank the editor (Deborah Lucas) and an anonymous referee for their extremely helpful comments and suggestions. I also thank Geoffrey Booth, Peter Christoffersen, Haim Levy, Salih Neftci, Robert Schwartz, and Panayiotis Theodossiou for their useful comments and suggestions on earlier version of this article. I benefited from discussions with Linda Allen, Ozgur Demirtas, Armen Hovakimian, John Merrick, Lin Peng, and Liuren Wu on certain theoretical and empirical points. An earlier version of this paper was presented at the 2004 Econometric Society Meeting, Baruch College and the Graduate School and University Center of the City University of New York. I gratefully acknowledge the financial support from the Eugene Lang Research Foundation of the Zicklin School of Business, Baruch College, and the PSC-CUNY Research Foundation of the City University of New York.
A Generalized Extreme Value Approach to Financial Risk Measurement
Version of Record online: 13 SEP 2007
Journal of Money, Credit and Banking
Volume 39, Issue 7, pages 1613–1649, October 2007
How to Cite
BALI, T. G. (2007), A Generalized Extreme Value Approach to Financial Risk Measurement. Journal of Money, Credit and Banking, 39: 1613–1649. doi: 10.1111/j.1538-4616.2007.00081.x
- Issue online: 13 SEP 2007
- Version of Record online: 13 SEP 2007
- Received May 6, 2005; and accepted in revised form November 6, 2006.
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