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Search: subject_exact:"Extremwerttheorie"
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Journal of risk
Applied economics
Insurance / Mathematics & economics
33
Discussion paper / Center for Economic Research, Tilburg University
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Risks : open access journal
15
Economic modelling
14
Journal of banking & finance
14
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of forecasting
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Journal of international money and finance
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SFB 649 discussion paper
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Astin bulletin : the journal of the International Actuarial Association
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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
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
3
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:
4
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
5
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
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6
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
7
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:
8
Beware of the crash risk : tail beta and the cross-section of stock returns in China
Long, Huaigang
;
Zaremba, Adam
;
Jiang, Yuexiang
- In:
Applied economics
51
(
2019
)
44
,
pp. 4870-4881
Persistent link: https://www.econbiz.de/10012197122
Saved in:
9
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:
10
Can cryptocurrencies be a safe haven : a tail risk perspective analysis
Feng, Wenjun
;
Yiming, Wang
;
Zhang, Zhengjun
- In:
Applied economics
50
(
2018
)
44
,
pp. 4745-4762
Persistent link: https://www.econbiz.de/10012061627
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