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Search: subject_exact:"Extremwerttheorie"
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ECONIS (ZBW)
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1
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
2
Modeling maxima with a regime-switching Fréchet model
Tan, Keqi
;
Chen, Yu
;
Chen, Pengzhan
- In:
Journal of risk
25
(
2022
)
2
,
pp. 27-45
Persistent link: https://www.econbiz.de/10014342458
Saved in:
3
Liquidation, leverage and optimal margin in bitcoin futures markets
Cheng, Zhiyong
;
Deng, Jun
;
Wang, Tianyi
;
Yu, Mei
- In:
Applied economics
53
(
2021
)
47
,
pp. 5415-5428
Persistent link: https://www.econbiz.de/10012626891
Saved in:
4
Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo
;
Börner, Christoph J.
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012500249
Saved in:
5
An empirical re-examination of extreme tail behavior : testing the assumptions of the power laws and the generalized Pareto distribution on the financial series
Liu, Wei-Han
- In:
Applied economics
51
(
2019
)
30
,
pp. 3310-3324
Persistent link: https://www.econbiz.de/10012196832
Saved in:
6
Portfolio management with tail dependence
Bergmann, Daniel Reed
;
Savoia, José Roberto Ferreira
; …
- In:
Applied economics
50
(
2018
)
51
,
pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
Saved in:
7
Risk assessment of oil price from static and dynamic modelling approaches
Mi, Zhi-Fu
;
Wei, Yi-Ming
;
Tang, Bao-Jun
;
Cong, Rong-Gang
; …
- In:
Applied economics
49
(
2017
)
9
,
pp. 929-939
Persistent link: https://www.econbiz.de/10011811076
Saved in:
8
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
9
Modeling redemption risks of mutual funds using extreme value theory
Desmettre, Sascha
;
Deege, Matthias
- In:
Journal of risk
18
(
2016
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011620647
Saved in:
10
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
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