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Search: subject:"Extreme value theory"
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Einmahl, John H. J.
30
Chen Zhou
24
Herrera, Rodrigo
20
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19
Zhou, Chen
19
Daouia, Abdelaati
15
Cotter, John
14
Lucas, André
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Straetmans, Stefan
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Stupfler, Gilles
14
Aboura, Sofiane
13
Haan, Laurens de
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Watanabe, Hiroki
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Pontines, Victor
12
Trabelsi, Abdelwahed
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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
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8
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8
Zhang, Zhengjun
8
Acemoglu, Daron
7
Byström, Hans
7
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7
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7
Härdle, Wolfgang
7
Karmakar, Madhusudan
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7
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7
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7
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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de Nederlandsche Bank
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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Center for Agricultural and Rural Development (CARD), Iowa State University
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International review of financial analysis
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Physica A: Statistical Mechanics and its Applications
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International review of economics & finance : IREF
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International journal of forecasting
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ECB Working Paper
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Annals of the Institute of Statistical Mathematics
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Journal of international money and finance
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Pacific-Basin finance journal
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Risks
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The North American journal of economics and finance : a journal of financial economics studies
6
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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RePEc
339
EconStor
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BASE
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621
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630
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621
The Role of Model Risk in
Extreme
Value
Theory
for Capital Adequacy
Kellner, Ralf
-
2018
In the recent literature, methods from
extreme
value
theory
(EVT) have frequently been applied for the estimation of …
extreme
value
theory
are less prone to misspecification and estimation risk, however, they exhibit a higher sensitivity …
Persistent link: https://www.econbiz.de/10012927144
Saved in:
622
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
623
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
624
Measuring systemic risk across financial market infrastructures
Li, Fuchun
;
Perez-Saiz, Hector
- In:
Journal of financial stability
34
(
2018
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012156785
Saved in:
625
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Saved in:
626
The dependence structure between Chinese and other major stock markets using extreme values and copulas
Hussain, Saiful Izzuan
;
Li, Steven
- In:
International review of economics & finance : IREF
56
(
2018
),
pp. 421-437
Persistent link: https://www.econbiz.de/10012033721
Saved in:
627
Mutual excitation between OECD stock and oil markets : a conditional intensity extreme value approach
Herrera, Rodrigo
;
González, Sergio
;
Clements, Adam
- In:
The North American journal of economics and finance : a …
46
(
2018
),
pp. 70-88
Persistent link: https://www.econbiz.de/10012036606
Saved in:
628
Portfolio management with tail dependence
Bergmann, Daniel Reed
;
Savoia, José Roberto Ferreira
; …
- In:
Applied economics
50
(
2018
)
51
,
pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
Saved in:
629
New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan
;
Wu, Jyh-lin
;
Lai, Yi-Hao
- In:
Journal of empirical finance
45
(
2018
),
pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
Saved in:
630
Short selling in extreme events
Geraci, Marco Valerio
;
Garbaravičius, Tomas
;
Veredas, David
- In:
Journal of financial stability
39
(
2018
),
pp. 90-103
Persistent link: https://www.econbiz.de/10012159719
Saved in:
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