Search Results - subject:"Extreme value theory"

Beirlant, Jan; Kijko, Andrzej; Reynkens, Tom; Einmahl, … - 2017

Persistent link: https://www.econbiz.de/10011764578

Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …

Persistent link: https://www.econbiz.de/10011503775

Auer, Benjamin R.; Mögel, Benjamin - 2016

derived from extreme value theory (EVT). Specifically, in a multi-asset study covering 30 years of stock, bond, commodity and …

Persistent link: https://www.econbiz.de/10011587888

Nonnenmacher, Jakob - 2023

Persistent link: https://www.econbiz.de/10013534152

Benito, Sonia; López-Martín, Carmen; Navarro, Mª Ángeles - In: Risk management : an international journal 25 (2023) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10013490818

Tzagkarakis, George; Maurer, Frantz - In: Computational economics 62 (2023) 3, pp. 1251-1286

Persistent link: https://www.econbiz.de/10014382906

Zhu, Wenhao; Li, Lujun; Yang, Jingping; Xie, Jiehua; … - In: Mathematical finance : an international journal of … 33 (2023) 4, pp. 1314-1369

Persistent link: https://www.econbiz.de/10014370668

Dacorogna, Michel M.; Debbabi, Nehla; Kratz, Marie - In: European journal of operational research : EJOR 311 (2023) 2, pp. 708-729

Persistent link: https://www.econbiz.de/10014336745

Bax, Karoline; Sahin, Özge; Czado, Claudia; Paterlini, … - In: International review of financial analysis 87 (2023), pp. 1-20

Persistent link: https://www.econbiz.de/10014456333

Yang, Yang; Gong, Yishan; Liu, Jiajun - In: The journal of operational risk 18 (2023) 1, pp. 31-57

Persistent link: https://www.econbiz.de/10014490082

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