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~isPartOf:"Applied economics"
~subject:"Multivariate distribution"
~subject:"Theory"
~subject:"extreme value theory"
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Multivariate distribution
Theory
extreme value theory
Risikomaß
53
Risk measure
53
Theorie
23
ARCH model
20
ARCH-Modell
20
Portfolio selection
20
Portfolio-Management
20
Estimation
18
Schätzung
18
Risiko
15
Risk
15
Statistical distribution
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35
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Barbi, Massimiliano
2
Blazsek, Szabolcs
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Romagnoli, Silvia
2
Tiwari, Aviral Kumar
2
Wang, Yi-Hsien
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
Al-Yahyaee, Khamis Hamed
1
Allen, David E.
1
Barrosa, Marcelo Rosário da
1
Bollen, Bernard
1
Božović, Miloš
1
Cao, Hong
1
Chang, Matthew C.
1
Charfeddine, Lanouar
1
Chen, Zhiping
1
Chu, Guoqing
1
Chuang, Chung-Chu
1
Chuang, Shuo-Li
1
Cong, Rong-Gang
1
Cover, James Peery
1
Curtis, John A.
1
Daly, Michael
1
DasGupta, Ranjan
1
Diao, Xundi
1
Ding, Jin
1
Díaz Hernández, Adán
1
Ergen, Ibrahim
1
Fretheim, Torun
1
Geman, Hélyette
1
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1
Goodwin, Barry K.
1
Guan, Dabo
1
He, Yingchen
1
Ho, Han-Chiang
1
Huang, Alex
1
Hui, Yongchang
1
Hung, Jui-Cheng
1
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Applied economics
Insurance / Mathematics & economics
179
European journal of operational research : EJOR
89
Journal of banking & finance
89
Risks : open access journal
73
Journal of risk
45
Economic modelling
39
Quantitative finance
37
Journal of empirical finance
36
Finance research letters
34
Discussion paper / Tinbergen Institute
32
International journal of forecasting
32
International review of financial analysis
32
Journal of risk and financial management : JRFM
31
International journal of theoretical and applied finance
27
SFB 649 discussion paper
27
Energy economics
26
Finance and stochastics
26
Scandinavian actuarial journal
26
The European journal of finance
24
Computational economics
23
The North American journal of economics and finance : a journal of financial economics studies
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Research paper series / Swiss Finance Institute
22
The journal of risk model validation
22
Journal of econometrics
21
Journal of forecasting
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of economic dynamics & control
20
Operations research letters
20
Astin bulletin : the journal of the International Actuarial Association
19
Mathematics of operations research
19
Operations research
19
SpringerLink / Bücher
19
The journal of operational risk
19
Applied economics letters
18
Computers & operations research : and their applications to problems of world concern ; an international journal
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of mathematical finance
16
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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
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
4
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
5
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
6
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
7
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
8
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
9
Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Kumar, Satish
;
Tiwari, Aviral Kumar
;
Raheem, I. D.
;
Ji, …
- In:
Applied economics
52
(
2020
)
28
,
pp. 3055-3072
Persistent link: https://www.econbiz.de/10012221480
Saved in:
10
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
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