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.
https://doi.org/10.1016/s0927-5398(00)00012-8

has been cited by the following article:

• TITLE: Risk Measurement of Chinese Stock Market Based on GARCH Model and Extreme Value Theory

  AUTHORS: Shixue Du, Guoqiang Tang, Shijun Li

  KEYWORDS: GARCH Model, Extreme Value Theory, VaR

  JOURNAL NAME: Open Journal of Business and Management, Vol.7 No.2, April 25, 2019

  ABSTRACT: The risk of the stock market has always been a hot issue for investors. This paper selects the daily closing price data of the Shanghai and Shenzhen 300 Index of the Shanghai stock exchange, the Shenzhen 300 Index of Shenzhen stock exchange, the Hang Seng Index of the Hong Kong stock exchange market and Taiwan Weighted Index of the Taiwan stock market and calculates logarithm and difference. The GARCH model is combined with the POT model of extreme value theory to measure the risk. Comparing the failure rates at the three significance levels of 0.05, 0.025 and 0.01, the failure rates are close to the level of significance, which conduct that the GARCH-POT model can measure the risk of Chinese stock market well.