This paper adopts GARCH model with GED distribution to estimate the conditional VaR in both upside and downside directions at the confidence level of 90% and 95%,and then utilizes the Granger causality in risk to uncover the extreme risk spillover effect between WTI and Daqing oil markets,the daily data of oil price in two markets ranging from May 2000 to May 2005.
本文采用美国西得克萨斯(WTI)和我国大庆2000年5月至2005年5月的原油价格的日度数据,运用GED分布的GARCH模型估计了两个市场95%和90%置信水平下的上涨和下跌的VaR,并利用风险-Granger因果检验方法分析了两个石油市场的极端风险溢出效应。
The Extreme Risk Spillover Effect between International and Domestic Oil Markets;
国内外石油市场的极端风险溢出检验
Comparative Research on Extreme Risk of Stock Market Based on BMM and POT Model
极值BMM与POT模型对沪深股市极端风险的比较研究
Empirical and Comparative Research on Extreme Risk of Shanghai and Shenzhen Stock Markets--Based on Model POT under GPD
沪深股市极端风险的实证研究与比较分析——基于GPD分布的极值POT模型
Extreme Offshore Environment Jinzhou JZ20-2 Platform Risk Assessment;
极端海况锦州JZ20-2平台的风险评估
Calculate the Financial Risk According to Extreme Value Theory;
基于极端值理论（EVT）的金融风险度量
Estimating Extreme Values of Operational Risk for Commercial Banks via Peak over Threshold Method;
基于POT方法的商业银行操作风险极端值估计
The mixed distribution which deals with the risk of averageand extreme events;
处理一般事件及极端事件风险的混合分布
The group polarization hypothesis states that individual attitude tend to become more extreme,"more polarized", as a result of group discussion.
群体极端性假说指出,通过群体讨论,个体对决策风险的态度会变得更极端化.
Quantitative Models Remedying VaR to Measure Extreme Financial Risk
极端金融风险度量模型述评——基于一致性原理的VaR改进方法
Change of relative extreme high temperature events and climate risk in rice growing period in China from 1981 to 2000
1981-2000年水稻生长季相对极端高温事件及其气候风险的变化
constant swings of style from one extreme to the other
风格从这一极端到另一极端的经常改变
Analysis of the Compare Between Active Risk Avoiding and Passive Risk Avoiding;
积极风险回避与消极风险回避的比较分析
Public sentiment can be dangerous, so extremes should be avoided.
公众的情感是危险的,应该避免走极端
Neither extreme is realistic, and both are dangerous.
两个极端都是不现实的，也都是危险的。
Extreme winter cold is the main hazard in this area.
冬季极端低温是本区主要的危险。
Ships out in this storm are in great danger, ie very liable to suffer damage, etc.
轮船在这种风暴中出航要冒极大风险.
An instance of extreme meticulousness or overrefinement.
故作风雅极端讲究或过分文雅的实例
Measuring Risk of Financial Markets: Based on Extreme Spectral Risk Measures
基于极值谱风险测度的金融市场风险度量
