{"id":"https://openalex.org/W2026536621","doi":"https://doi.org/10.1016/j.rfe.2013.05.001","title":"Estimation of tail\u2010related risk measures in the Indian stock market: An extreme value approach","display_name":"Estimation of tail\u2010related risk measures in the Indian stock market: An extreme value approach","publication_year":2013,"publication_date":"2013-05-03","ids":{"openalex":"https://openalex.org/W2026536621","doi":"https://doi.org/10.1016/j.rfe.2013.05.001","mag":"2026536621"},"language":"en","primary_location":{"id":"doi:10.1016/j.rfe.2013.05.001","doi":"https://doi.org/10.1016/j.rfe.2013.05.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.rfe.2013.05.001","pdf_url":null,"source":{"id":"https://openalex.org/S105710273","display_name":"Review of Financial Economics","issn_l":"1058-3300","issn":["1058-3300","1873-5924"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5077658479","display_name":"Madhusudan Karmakar","orcid":"https://orcid.org/0000-0002-3344-7664","observed_orcids":["https://orcid.org/0000-0002-3344-7664"]},"institutions":[{"id":"https://openalex.org/I91699865","display_name":"Indian Institute of Management Lucknow","ror":"https://ror.org/05gfjrx96","country_code":"IN","type":"education","lineage":["https://openalex.org/I91699865"]}],"countries":["IN"],"is_corresponding":true,"raw_author_name":"Madhusudan Karmakar","raw_affiliation_strings":["Indian Institute of Management, Prabandh Nagar, Off Sitapur Road, Lucknow, 226 013 UP, India"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Indian Institute of Management, Prabandh Nagar, Off Sitapur Road, Lucknow, 226 013 UP, India","institution_ids":["https://openalex.org/I91699865"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5077658479"],"corresponding_institution_ids":["https://openalex.org/I91699865"],"apc_list":{"value":3470,"currency":"USD","value_usd":3470},"apc_paid":null,"fwci":4.0816,"has_fulltext":false,"cited_by_count":22,"citation_normalized_percentile":{"value":0.93725983,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"22","issue":"3","first_page":"79","last_page":"85"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9307000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9307000041007996,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11720","display_name":"Probability and Risk Models","score":0.03280000016093254,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.014100000262260437,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/extreme-value-theory","display_name":"extreme value theory","score":0.9789999723434448},{"id":"https://openalex.org/keywords/conditional-value-at-risk","display_name":"conditional value at risk","score":0.9879999756813049},{"id":"https://openalex.org/keywords/indian-stock-market","display_name":"Indian stock market","score":0.8799999952316284},{"id":"https://openalex.org/keywords/quantile-based-risk-measures","display_name":"quantile-based risk measures","score":0.7799999713897705},{"id":"https://openalex.org/keywords/threshold-stability","display_name":"threshold stability","score":0.3529999852180481}],"concepts":[{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.7416800260543823},{"id":"https://openalex.org/C147581598","wikidata":"https://www.wikidata.org/wiki/Q729429","display_name":"Extreme value theory","level":2,"score":0.7313753366470337},{"id":"https://openalex.org/C118671147","wikidata":"https://www.wikidata.org/wiki/Q578714","display_name":"Quantile","level":2,"score":0.6895424723625183},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.6875922679901123},{"id":"https://openalex.org/C5496284","wikidata":"https://www.wikidata.org/wiki/Q5420856","display_name":"Expected shortfall","level":3,"score":0.678092360496521},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5685091614723206},{"id":"https://openalex.org/C2776734221","wikidata":"https://www.wikidata.org/wiki/Q3936425","display_name":"Tail risk","level":2,"score":0.5385367274284363},{"id":"https://openalex.org/C122048520","wikidata":"https://www.wikidata.org/wiki/Q2913954","display_name":"Percentile","level":2,"score":0.4969921410083771},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.4654477536678314},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.42646318674087524},{"id":"https://openalex.org/C2780299701","wikidata":"https://www.wikidata.org/wiki/Q475000","display_name":"Stock market","level":3,"score":0.426052451133728},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3855576515197754},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.26533544063568115},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.23049914836883545},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.11183694005012512},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.0},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1016/j.rfe.2013.05.001","doi":"https://doi.org/10.1016/j.rfe.2013.05.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.rfe.2013.05.001","pdf_url":null,"source":{"id":"https://openalex.org/S105710273","display_name":"Review of Financial Economics","issn_l":"1058-3300","issn":["1058-3300","1873-5924"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-b","anvur-scientific","cwts-core","fnege-4","jufo-1","norway-1","poland-70","russia-white-list-3"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Review of Financial Economics","raw_type":"journal-article"},{"id":"pmh:oai:RePEc:eee:revfin:v:22:y:2013:i:3:p:79-85","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S1058330013000359","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":27,"referenced_works":["https://openalex.org/W1498464051","https://openalex.org/W1498607916","https://openalex.org/W1503743918","https://openalex.org/W1531996397","https://openalex.org/W1551275368","https://openalex.org/W1977988247","https://openalex.org/W2003201741","https://openalex.org/W2019199024","https://openalex.org/W2036983007","https://openalex.org/W2052735173","https://openalex.org/W2054619687","https://openalex.org/W2083103277","https://openalex.org/W2083233882","https://openalex.org/W2083772049","https://openalex.org/W2093724702","https://openalex.org/W2101648733","https://openalex.org/W2109528417","https://openalex.org/W2127939460","https://openalex.org/W2132149004","https://openalex.org/W2135177937","https://openalex.org/W2152278349","https://openalex.org/W2172067032","https://openalex.org/W2502254989","https://openalex.org/W2951605283","https://openalex.org/W3124383505","https://openalex.org/W3124711895","https://openalex.org/W6630121183"],"related_works":["https://openalex.org/W2264676336","https://openalex.org/W2126123508","https://openalex.org/W803188163","https://openalex.org/W2913055873","https://openalex.org/W7026633907","https://openalex.org/W2930466671","https://openalex.org/W7171723423","https://openalex.org/W2351975984","https://openalex.org/W2217576186","https://openalex.org/W7097689357"],"abstract_inverted_index":{"Abstract":[0],"The":[1,22,50,65],"purpose":[2],"of":[3,29,67,81,90],"the":[4,18,82,86,91],"study":[5,23],"is":[6],"to":[7,39],"estimate":[8,40],"tail\u2010related":[9],"risk":[10,52,68,95],"measures":[11,53,69],"using":[12],"extreme":[13],"value":[14],"theory":[15],"(EVT)":[16],"in":[17],"Indian":[19],"stock":[20],"market.":[21],"employs":[24],"a":[25,79],"two":[26],"stage":[27],"approach":[28],"conditional":[30],"EVT":[31],"originally":[32],"proposed":[33],"by":[34],"McNeil":[35],"and":[36,46,62,88],"Frey":[37],"(2000)":[38],"dynamic":[41,51],"Value":[42],"at":[43],"Risk":[44],"(VaR)":[45],"expected":[47],"shortfall":[48],"(ES).":[49],"have":[54],"been":[55],"estimated":[56,92],"for":[57,60],"different":[58,72],"percentiles":[59],"negative":[61],"positive":[63],"returns.":[64],"estimates":[66],"computed":[70],"under":[71],"quantile":[73,93],"levels":[74],"exhibit":[75],"strong":[76],"stability":[77],"across":[78],"range":[80],"selected":[83],"thresholds,":[84],"implying":[85],"accuracy":[87],"reliability":[89],"based":[94],"measures.":[96]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":3},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":2},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":3},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":1}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}