Expected annual minima from an idealized moving-average drought index by J. H. Stagge, K. Sung, K. Sung, I. F. Munyejuru, M. A. I. Haidar

“…The resulting distribution of annual minima follows a generalized normal distribution rather than the generalized extreme-value (GEV) distribution, as would be expected from extreme-value theory. From a more applied perspective, this study provides the expected annual return periods for the SPI or related drought indices with common accumulation periods (moving-window length), ranging from 1 to 24 months. …”
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Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable? by Luiz Augusto Finger França Maluf, Jéssica Tamy Asano

“…Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and IGARCH), are adequate for the main index of the Brazilian stock market, the IBOVESPA. …”
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