{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2024,9,9]],"date-time":"2024-09-09T23:50:24Z","timestamp":1725925824853},"publisher-location":"Cham","reference-count":24,"publisher":"Springer International Publishing","isbn-type":[{"type":"print","value":"9783319709413"},{"type":"electronic","value":"9783319709420"}],"license":[{"start":{"date-parts":[[2017,12,2]],"date-time":"2017-12-02T00:00:00Z","timestamp":1512172800000},"content-version":"unspecified","delay-in-days":0,"URL":"http:\/\/www.springer.com\/tdm"}],"content-domain":{"domain":["link.springer.com"],"crossmark-restriction":false},"short-container-title":[],"published-print":{"date-parts":[[2018]]},"DOI":"10.1007\/978-3-319-70942-0_52","type":"book-chapter","created":{"date-parts":[[2017,12,1]],"date-time":"2017-12-01T08:12:27Z","timestamp":1512115947000},"page":"724-736","update-policy":"http:\/\/dx.doi.org\/10.1007\/springer_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Forecasting of VaR in Extreme Event Under Economic Cycle Phenomena for the ASEAN-4 Stock Exchange"],"prefix":"10.1007","author":[{"given":"Satawat","family":"Wannapan","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Pattaravadee","family":"Rakpuang","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Chukiat","family":"Chaiboonsri","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"297","published-online":{"date-parts":[[2017,12,2]]},"reference":[{"key":"52_CR1","unstructured":"Avdulai, K.: The Extreme Value Theory as a Tool to Measure Market Risk. Working paper 26\/2011.IES FSV. Charles University (2011). http:\/\/ies.fsv.cuni.cz"},{"key":"52_CR2","doi-asserted-by":"crossref","first-page":"227","DOI":"10.1191\/1471082X04st075oa","volume":"4","author":"CN Behrens","year":"2004","unstructured":"Behrens, C.N., Lopes, H.F., Gamerman, D.: Bayesian analysis of extreme events with threshold estimation. Stat. Modell. 4, 227\u2013244 (2004)","journal-title":"Stat. Modell."},{"issue":"4","key":"52_CR3","first-page":"151","volume":"1","author":"K Chaithep","year":"2012","unstructured":"Chaithep, K., Sriboonchitta, S., Chaiboonsri, C., Pastpipatkul, P.: Value at risk analysis of gold price return using extreme value theory. EEQEL 1(4), 151\u2013168 (2012)","journal-title":"EEQEL"},{"key":"52_CR4","doi-asserted-by":"crossref","first-page":"841","DOI":"10.2307\/2527341","volume":"39","author":"P Christoffersen","year":"1998","unstructured":"Christoffersen, P.: Evaluating interval forecasts. Int. Econ. Rev. 39, 841\u2013862 (1998)","journal-title":"Int. Econ. Rev."},{"key":"52_CR5","doi-asserted-by":"crossref","first-page":"1382","DOI":"10.1198\/016214508000000698","volume":"103","author":"JHJ Einmahl","year":"2008","unstructured":"Einmahl, J.H.J., Magnus, J.R.: Records in athletics through extreme-value theory. J. Am. Stat. Assoc. 103, 1382\u20131391 (2008)","journal-title":"J. Am. Stat. Assoc."},{"issue":"2","key":"52_CR6","doi-asserted-by":"crossref","first-page":"30","DOI":"10.1080\/10920277.1999.10595797","volume":"3","author":"T Embrechts","year":"1999","unstructured":"Embrechts, T., Resnick, S.T., Samorodnitsky, G.: Extreme value theory as a risk management tool. North Am. Actuarial J. 3(2), 30\u201341 (1999)","journal-title":"North Am. Actuarial J."},{"key":"52_CR7","unstructured":"Ernst, E., Stockhammer, E.: Macroeconomic Regimes: Business Cycle Theories Reconsidered. Working paper No. 99. Center for Empirical Macroeconomics, Department of Economics, University of Bielefeld (2003). http:\/\/www.wiwi.uni-bielefeld.de"},{"key":"52_CR8","unstructured":"Garrido, M.C., Lezaud, P.: Extreme value analysis: an introduction. J. de la Socit Franaise de Statistique, 66\u201397 (2013). https:\/\/hal-enac.archivesouvertes.fr\/hal-00917995"},{"key":"52_CR9","unstructured":"Hamilton, J.D.: Regime Switching Models. Palgrave Dictionary of Economics (2005)"},{"key":"52_CR10","first-page":"97","volume":"6","author":"JB Jang","year":"2007","unstructured":"Jang, J.B.: An extreme value theory approach for analyzing the extreme risk of the gold prices. J. Financ. Rev. 6, 97\u2013109 (2007)","journal-title":"J. Financ. Rev."},{"key":"52_CR11","unstructured":"King, R.G., Rebelo, S.T.: Resuscitating Real Business Cycles. Working paper 7534, National Bureau of Economic Research (2000). http:\/\/www.nber.org\/papers\/w7534"},{"key":"52_CR12","unstructured":"Kisacik, A.: High volatility, heavy tails and extreme values in value at risk estimation. Institute of Applied Mathematics Financial Mathematics\/Life Insurance Option Program Middle East Technical University, Term Project (2006)"},{"key":"52_CR13","doi-asserted-by":"crossref","first-page":"73","DOI":"10.3905\/jod.1995.407942","volume":"3","author":"P Kupiec","year":"1995","unstructured":"Kupiec, P.: Techniques for verifying the accuracy of risk management models. J. Derivat. 3, 73\u201384 (1995)","journal-title":"J. Derivat."},{"key":"52_CR14","doi-asserted-by":"crossref","unstructured":"Manganelli, S., Engle, F.R.: Value at Risk Model in Finance. Working paper No. 75. European Central Bank (2001)","DOI":"10.2139\/ssrn.356220"},{"key":"52_CR15","unstructured":"Marimoutou, V., Raggad, B., Trabelsi, A.: Extreme Value Theory and Value at Risk: Application to oil Market (2006). https:\/\/halshs.archives-ouvertes.fr\/halshs-00410746"},{"key":"52_CR16","first-page":"107","volume":"1","author":"I Mierlus-Mazilu","year":"2010","unstructured":"Mierlus-Mazilu, I.: On generalized Pareto distribution. Roman. J. Econ. Forecast. 1, 107\u2013117 (2010)","journal-title":"Roman. J. Econ. Forecast."},{"key":"52_CR17","unstructured":"Mwamba, J.W.M., Hammoudeh, S., Gupta, R.: Financial Tail Risks and the Shapes of the Extreme Value Distribution: A Comparison between Conventional and Sharia-Compliant Stock Indexes. Working paper No. 80. Department of Economics Working Paper Series, University of Pretoria (2014)"},{"issue":"1","key":"52_CR18","first-page":"83","volume":"6","author":"C Neves","year":"2008","unstructured":"Neves, C., Alves, M.I.F.: Testing extreme value conditions an overview and recent approaches. Stati. J., REVSTAT 6(1), 83\u2013100 (2008)","journal-title":"Stati. J., REVSTAT"},{"key":"52_CR19","unstructured":"Perez, P.G., Murphy, D.: Filtered Historical Simulation Value-at-Risk Models and Their Competitors. Working paper No. 525. Bank of England (2015). http:\/\/www.bankofengland.co.uk\/research\/Pages\/workingpapers\/default.aspx"},{"key":"52_CR20","unstructured":"Perlin, M.: MS Regress - The MATLAB Package for Markov Regime Switching Models (2010). Available at SSRN: http:\/\/ssrn.com\/abstract=1714016"},{"key":"52_CR21","first-page":"110","volume":"3","author":"J Pickands","year":"1975","unstructured":"Pickands, J.: Statistical inference using extreme order statistics. Ann. Stat. 3, 110\u2013131 (1975)","journal-title":"Ann. Stat."},{"key":"52_CR22","doi-asserted-by":"crossref","unstructured":"Rockafellar, R.T., Uryasev, S.: Conditional value-at-risk for general loss distributions. J. Bank. Financ. 26, 1443\u20131471 (2002). http:\/\/www.elsevier.com\/locate\/econbase","DOI":"10.1016\/S0378-4266(02)00271-6"},{"key":"52_CR23","unstructured":"Sampara, J.B., Guillen, M., Santolino, M.: Beyond value-at-risk: glue VaR distortion risk measures. Working paper No. 2. Research Institute of Applied Economics, Department of Econometrics, Riskcenter - IREA University of Barcelona (2013)"},{"key":"52_CR24","unstructured":"Taghipour, A.: Banks, stock market and economic growth: the case of Iran. J. Iran. Econ. Rev. 14(23) (2009)"}],"container-title":["Studies in Computational Intelligence","Predictive Econometrics and Big Data"],"original-title":[],"link":[{"URL":"http:\/\/link.springer.com\/content\/pdf\/10.1007\/978-3-319-70942-0_52","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2022,8,9]],"date-time":"2022-08-09T19:40:34Z","timestamp":1660074034000},"score":1,"resource":{"primary":{"URL":"http:\/\/link.springer.com\/10.1007\/978-3-319-70942-0_52"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2017,12,2]]},"ISBN":["9783319709413","9783319709420"],"references-count":24,"URL":"https:\/\/doi.org\/10.1007\/978-3-319-70942-0_52","relation":{},"ISSN":["1860-949X","1860-9503"],"issn-type":[{"type":"print","value":"1860-949X"},{"type":"electronic","value":"1860-9503"}],"subject":[],"published":{"date-parts":[[2017,12,2]]}}}