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Search: subject:"Extreme value theory"
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Ausreißer
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extreme value theory
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Einmahl, John H. J.
30
Chen Zhou
24
Herrera, Rodrigo
20
Vries, Casper G. de
19
Zhou, Chen
19
Daouia, Abdelaati
15
Cotter, John
14
Lucas, André
14
Straetmans, Stefan
14
Stupfler, Gilles
14
Aboura, Sofiane
13
Haan, Laurens de
13
Watanabe, Hiroki
13
Pontines, Victor
12
Trabelsi, Abdelwahed
12
Berliant, Marcus
11
Stork, Philip
11
Ghorbel, Ahmed
10
Schwaab, Bernd
10
Uppal, Jamshed Y.
10
Zhang, Xin
10
Daníelsson, Jón
9
Makatjane, Katleho
9
Pais, Amelia
9
Qin, Xiao
9
Zikovic, Sasa
9
Orlik, Anna
8
Schaumburg, Julia
8
Veldkamp, Laura
8
Zhang, Zhengjun
8
Acemoglu, Daron
7
Byström, Hans
7
Candelon, Bertrand
7
Chernozhukov, Victor
7
Härdle, Wolfgang
7
Karmakar, Madhusudan
7
Mapa, Dennis S.
7
Martins-Filho, Carlos
7
Ozdaglar, Asuman E.
7
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7
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
30
HAL
8
de Nederlandsche Bank
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HEC Paris (École des Hautes Études Commerciales)
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Institut ekonomických studií, Univerzita Karlova v Praze
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National Bureau of Economic Research
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Tinbergen Institute
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Centre for International Economic Studies, School of Economics
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Tilburg University, Center for Economic Research
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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EconWPA
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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CESifo
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Courant Research Centre PEG
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Allied Academies International Conference 13-16 Oct. 2004 Maui, Hawaii
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Banque de France
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Center for Agricultural and Rural Development (CARD), Iowa State University
1
Center for Economic Research <Tilburg>
1
Center for Energy and Environmental Policy Research (CEEP), Beijing Institute of Technology
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Journal of econometrics
16
Applied economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Risks : open access journal
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International review of financial analysis
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Finance research letters
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Journal of empirical finance
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Physica A: Statistical Mechanics and its Applications
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12
The journal of operational risk
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Tinbergen Institute Discussion Papers
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Economics letters
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Journal of risk
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International review of economics & finance : IREF
9
Journal of Banking & Finance
9
DNB Working Papers
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DNB working paper
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Energy economics
8
International journal of forecasting
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The journal of risk model validation
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ECB Working Paper
7
SFB 649 discussion paper
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Tinbergen Institute Discussion Paper
7
Working paper
7
Annals of the Institute of Statistical Mathematics
6
CESifo working papers
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Journal of international money and finance
6
Journal of mathematical finance
6
Pacific-Basin finance journal
6
Risks
6
The North American journal of economics and finance : a journal of financial economics studies
6
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6
Applied economics letters
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
1,026
RePEc
339
EconStor
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BASE
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Other ZBW resources
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USB Cologne (EcoSocSci)
7
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331
Financial contagion and contagion channels in the forex market : A new approach via the dynamic mixture copula-
extreme
value
theory
Wang, Haiying
;
Yuan, Ying
;
Li, Yiou
;
Wang, Xunhong
- In:
Economic modelling
94
(
2021
),
pp. 401-414
Persistent link: https://www.econbiz.de/10012695085
Saved in:
332
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
333
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
334
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
Saved in:
335
Der Schwarze Schwan : die Macht höchst unwahrscheinlicher Ereignisse
Taleb, Nassim Nicholas
-
2021
Persistent link: https://www.econbiz.de/10012421082
Saved in:
336
Bayesian estimation of stochastic tail index from high-frequency financial data
Doğan, Osman
;
Taṣpınar, Süleyman
;
Bera, Anil K.
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
5
,
pp. 2685-2711
Persistent link: https://www.econbiz.de/10012664628
Saved in:
337
Information theoretic ranking of extreme value returns
Kayal, Parthajit
;
Dutta, Sumanjay
;
Khandelwal, Vipul
; …
- In:
Journal of quantitative economics
19
(
2021
)
1
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012489842
Saved in:
338
Measuring systemic risk via GAS models and
extreme
value
theory
: revisiting the 2007 financial crisis
Gavronski, Pedro Gerhardt
;
Ziegelmann, Flavio A.
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012490211
Saved in:
339
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
Saved in:
340
International capital flows and extreme exchange market pressure : evidence from emerging market economies
Tan, Sook-Rei
;
Wang, Wei Siang
;
Chia, Wai-mun
- In:
Open economies review
32
(
2021
)
3
,
pp. 479-506
Persistent link: https://www.econbiz.de/10012619374
Saved in:
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