Search Results - subject:"Extreme value theory"

Portfolio selection : an extreme value approach

DiTraglia, Francis J.; Gerlach, Jeffrey R. - In: Journal of banking & finance 37 (2013) 2, pp. 305-323

Persistent link: https://www.econbiz.de/10009705699

Systemic risk and diversification across European banks and insurers

Slijkerman, Jan Frederic; Schoenmaker, Dirk; Vries, … - In: Journal of banking & finance 37 (2013) 3, pp. 773-785

Persistent link: https://www.econbiz.de/10009708742

Dynamic hedge fund portfolio construction : a semi-parametric approach

Harris, Richard D. F.; Mazibas, Murat - In: Journal of banking & finance 37 (2013) 1, pp. 139-149

Persistent link: https://www.econbiz.de/10009675549

Detecting structural breaks in tail behaviour : from the perspective of fitting the generalized Pareto distribution

Liu, Wei-han - In: Applied economics 45 (2013) 10/12, pp. 1273-1286

Persistent link: https://www.econbiz.de/10009718411

Quantitative Methoden der Wirtschaftswissenschaften : mit 181 Aufgaben nebst ausführlich ausgearbeiteten Lösungen

Langenbahn, Claus-Michael - 2013 - 3., erw. und überarb. Aufl.

Persistent link: https://www.econbiz.de/10010189138

Fragility of global finance : systemic risk as black swan

Willke, Helmut - In: Fragile Stabilität - stabile Fragilität, (pp. 199-218). 2013

Persistent link: https://www.econbiz.de/10011525429

Quantitative Methoden der Wirtschaftswissenschaften : Mit 181 Aufgaben nebst ausführlich ausgearbeiteten Lösungen

Langenbahn, Claus-Michael - 2013 - 3. überarbeitete Auflage

Wirtschaftwissenschaften und Mathematik sind eng miteinander verflochtene Fachgebiete. Aus diesem Grund ist es für Wirtschaftswissenschaftler unerlässlich, sich schon im Grundstudium fundierte Kenntnisse etwa in Finanzmathematik oder Extremwertberechnung anzueignen. Um dieses Wissen...

Persistent link: https://www.econbiz.de/10014510806

Extremal behavior of stochastic volatility models

Fasen, Vicky; Klüppelberg, Claudia; Lindner, Alexander M. - 2005

Empirical volatility changes in time and exhibits tails, which are heavier than normal. Moreover, empirical volatility has - sometimes quite substantial - upwards jumps and clusters on high levels. We investigate classical and nonclassical stochastic volatility models with respect to their...

Persistent link: https://www.econbiz.de/10010275679

Risk Diversification by European Financial Conglomerates

Slijkerman, Jan Frederik; Schoenmaker, Dirk; de Vries, … - 2005

We study the dependence between the downside risk of European banks and insurers. Since the downside risk of banks and insurers differs, an interesting question from a supervisory point of view is the risk reduction that derives from diversification within large banks and financial...

Persistent link: https://www.econbiz.de/10010325174

'n Ondersoek na die eindige steekproefgedrag van inferensiemetodes in ekstreemwaarde-teorie

Van Deventer, Dewald - 2005

/her to perform extreme value analyses with confidence.Extreme value theory – for both approaches - is based upon asymptotic … value theory. This theory consists oftwo approaches: The classical maxima method, based on the properties of themaximum of a … models and techniques in order to describe andmodel such rare observations.In this document we discuss aspects of extreme …

Persistent link: https://www.econbiz.de/10009442025