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Search: subject:"Extreme value theory"
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Ausreißer
964
Outliers
964
Risikomaß
568
Risk measure
565
Theorie
501
Theory
492
Statistische Verteilung
398
Statistical distribution
397
Risikomanagement
271
Risk management
270
Extreme value theory
261
extreme value theory
258
Risk
212
Risiko
209
ARCH model
189
ARCH-Modell
189
Schätztheorie
181
Estimation theory
179
Portfolio selection
155
Portfolio-Management
154
Extreme Value Theory
151
Multivariate Verteilung
147
Multivariate distribution
147
Schätzung
147
Estimation
145
Kapitaleinkommen
139
Capital income
138
Volatility
131
Volatilität
126
Prognoseverfahren
104
Financial crisis
103
Forecasting model
102
Finanzkrise
99
Zeitreihenanalyse
85
Time series analysis
84
Wahrscheinlichkeitsrechnung
81
Probability theory
79
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74
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69
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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
Tahbaz-Salehi, Alireza
7
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
30
HAL
8
de Nederlandsche Bank
8
Tinbergen Instituut
6
HEC Paris (École des Hautes Études Commerciales)
5
Institut ekonomických studií, Univerzita Karlova v Praze
5
National Bureau of Economic Research
5
Tinbergen Institute
5
Centre for International Economic Studies, School of Economics
4
Econometric Society
4
European Central Bank
4
Nationalekonomiska Institutionen, Ekonomihögskolan
4
Tilburg University, Center for Economic Research
4
Université Paris-Dauphine (Paris IX)
4
C.E.P.R. Discussion Papers
3
Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
3
EconWPA
3
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.
3
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
3
Geary Institute, University College Dublin
3
Banca d'Italia
2
CESifo
2
Courant Research Centre PEG
2
Deutsche Bundesbank
2
Dipartimento di Economia e Management, Università degli Studi di Trento
2
ESSEC Business School
2
Institut de Préparation à l'Administration et à la Gestion (IPAG)
2
London School of Economics (LSE)
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Swiss Finance Institute
2
University of Bonn, Germany
2
University of Stellenbosch. Faculty of Economic and Management Sciences. Dept. of Statistics and Actuarial Science.
2
Université Paris-Dauphine
2
İktisat Bölümü, Bilkent Üniversitesi
2
Allied Academies International Conference 13-16 Oct. 2004 Maui, Hawaii
1
Banque de France
1
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
1
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
1
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Insurance / Mathematics & economics
31
MPRA Paper
30
Discussion paper / Center for Economic Research, Tilburg University
21
Journal of banking & finance
18
Journal of econometrics
16
Applied economics
15
Discussion paper / Tinbergen Institute
15
Economic modelling
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Risks : open access journal
15
International review of financial analysis
14
Finance research letters
13
Journal of empirical finance
12
Physica A: Statistical Mechanics and its Applications
12
Working papers / TSE : WP
12
The journal of operational risk
11
Tinbergen Institute Discussion Papers
11
Economics letters
10
Journal of risk
10
International review of economics & finance : IREF
9
Journal of Banking & Finance
9
DNB Working Papers
8
DNB working paper
8
Energy economics
8
International journal of forecasting
8
The journal of risk model validation
8
ECB Working Paper
7
SFB 649 discussion paper
7
Tinbergen Institute Discussion Paper
7
Working paper
7
Annals of the Institute of Statistical Mathematics
6
CESifo working papers
6
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
Working paper / National Bureau of Economic Research, Inc.
6
Applied economics letters
5
Astin bulletin : the journal of the International Actuarial Association
5
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Source
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ECONIS (ZBW)
1,026
RePEc
339
EconStor
61
BASE
13
Other ZBW resources
10
USB Cologne (EcoSocSci)
7
USB Cologne (business full texts)
1
OLC EcoSci
1
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371
A statistical risk assessment of bitcoin and its extreme tail behavior
Osterrieder, Joerg
;
Lorenz, Julian
- In:
Annals of financial economics
12
(
2017
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10011716049
Saved in:
372
Stability of Thai baht : tales from the tails
Cumperayot, Phornchanok J.
- In:
Bulletin of economic research
69
(
2017
)
4
,
pp. 355-383
Persistent link: https://www.econbiz.de/10011778613
Saved in:
373
Foreign exchange market contagion in Central Europe from the viewpoint of
extreme
value
theory
Kadlčáková, Narcisa
;
Komárek, Luboš
- In:
Prague economic papers : a bimonthly journal of …
26
(
2017
)
6
,
pp. 690-721
Persistent link: https://www.econbiz.de/10011780233
Saved in:
374
Tail dependence analysis of stock markets using
extreme
value
theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
375
Risk assessment of oil price from static and dynamic modelling approaches
Mi, Zhi-Fu
;
Wei, Yi-Ming
;
Tang, Bao-Jun
;
Cong, Rong-Gang
; …
- In:
Applied economics
49
(
2017
)
9
,
pp. 929-939
Persistent link: https://www.econbiz.de/10011811076
Saved in:
376
Contagion risk for Australian banks from global systemically important banks : evidence from extreme events
Akhter, Selim
;
Daly, Kevin James
- In:
Economic modelling
63
(
2017
),
pp. 191-205
Persistent link: https://www.econbiz.de/10011813475
Saved in:
377
Estimating and forecasting portfolio's Value-at-Risk with wavelet-based
extreme
value
theory
: evidence from crude oil prices and US exchange rates
Jammazi, Rania
;
Nguyen, Duc Khuong
- In:
Journal of the Operational Research Society : OR
68
(
2017
)
11
,
pp. 1352-1362
Persistent link: https://www.econbiz.de/10011815894
Saved in:
378
Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach
Karmakar, Madhusudan
- In:
The quarterly review of economics and finance : journal …
64
(
2017
),
pp. 275-291
Persistent link: https://www.econbiz.de/10011792337
Saved in:
379
Measuring firm performance using nonparametric quantile-type distances
Daouia, Abdelaati
;
Simar, Léopold
;
Wilson, Paul W.
- In:
Econometric reviews
36
(
2017
)
1/3
,
pp. 156-181
Persistent link: https://www.econbiz.de/10011795039
Saved in:
380
Using conditional
extreme
value
theory
to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
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