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AbstractOrientation: Value-at-risk (VAR) and other risk management tools, such as expected shortfall (conditional VAR), are heavily reliant on a suitable set of underlying distributional conjecture. Thus, distinguishing the underlying distribution that be... see more


The resource sector accounts for a substantial proportion of market capitalization on the US and South African stock exchanges. Hence, severe movements in related stock prices can drastically affect the risk profile of the entire market. Extreme value the... see more

It has been well documented that the empirical distribution of daily logarithmic returns from financial market variables is characterized by excess kurtosis and skewness. In order to capture such properties in financial data, heavy-tailed and asymmetric d... see more

Extreme value theory (EVT) has been widely applied in fields such as hydrology and insurance. It is a tool used to reflect on probabilities associated with extreme, and thus rare, events. EVT is useful in modeling the impact of crashes or situations of ex... see more

South Africa is a cornucopia of mineral riches and the performance of its mining industry has significant impacts on the economy. Hence, an accurate distributional assumption of the underlying mining index returns is imperative for the forecasting and und... see more

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