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subject:"Risk measure"
~isPartOf:"Economics letters"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Studies in economics and finance"
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Search: subject_exact:"Extreme value theory"
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Risk measure
Ausreißer
21
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15
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14
Statistical distribution
13
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13
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Ardakani, Omid M.
1
Bee, Marco
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Dupuis, Debbie J.
1
Feng, Xingdong
1
Friebel, Ludvík
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1
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1
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1
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Sharma, Prateek
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1
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Economics letters
Journal of empirical finance
Studies in economics and finance
Insurance / Mathematics & economics
22
Journal of banking & finance
13
Applied economics
11
Risks : open access journal
11
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9
The journal of operational risk
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Discussion paper / Tinbergen Institute
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Energy economics
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Finance research letters
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International journal of forecasting
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International review of financial analysis
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Journal of risk
7
The North American journal of economics and finance : a journal of financial economics studies
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
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Journal of international financial markets, institutions & money
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SFB 649 discussion paper
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Journal of international money and finance
4
Journal of risk finance : the convergence of financial products and insurance
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The journal of risk model validation
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Astin bulletin : the journal of the International Actuarial Association
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CESifo working papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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Pacific-Basin finance journal
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Research in international business and finance
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Scandinavian actuarial journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Tydskrif vir studies in ekonomie en ekonometrie : SEE
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1
Capturing information in extreme events
Ardakani, Omid M.
- In:
Economics letters
231
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014461218
Saved in:
2
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
3
Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš
;
Krásnická, Martina
;
Friebel, Ludvík
- In:
Studies in economics and finance
40
(
2023
)
1
,
pp. 175-191
Persistent link: https://www.econbiz.de/10013503890
Saved in:
4
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
5
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
6
An application of extreme value theory to cryptocurrencies
Gillas, Konstantinos Gkillas
;
Katsiampa, Paraskevi
- In:
Economics letters
164
(
2018
),
pp. 109-11
Persistent link: https://www.econbiz.de/10011939961
Saved in:
7
Improved VaR forecasts using extreme value theory with the Realized GARCH model
Paul, Samit
;
Sharma, Prateek
- In:
Studies in economics and finance
34
(
2017
)
2
,
pp. 238-259
Persistent link: https://www.econbiz.de/10011822635
Saved in:
8
Value-at-risk and expected shortfall using the unbiased extreme value volatility estimator
Kumar, Dilip
;
Maheswaran, Srinivasan
- In:
Studies in economics and finance
34
(
2017
)
4
,
pp. 506-526
Persistent link: https://www.econbiz.de/10011961097
Saved in:
9
Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.
;
Pagliardi, Giovanni
- In:
Economics letters
145
(
2016
),
pp. 252-254
Persistent link: https://www.econbiz.de/10011618837
Saved in:
10
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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