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  • Search: subject:"Extreme value theory"
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Year of publication
Subject
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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 Value-at-Risk 74 Börsenkurs 69 Share price 68
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Online availability
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Free 630 Undetermined 446 CC license 36
Type of publication
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Article 833 Book / Working Paper 623 Other 2
Type of publication (narrower categories)
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Article in journal 565 Aufsatz in Zeitschrift 565 Working Paper 243 Graue Literatur 208 Non-commercial literature 208 Arbeitspapier 203 Aufsatz im Buch 51 Book section 51 Hochschulschrift 32 Thesis 28 Article 21 research-article 9 Collection of articles of several authors 7 Sammelwerk 7 Aufgabensammlung 6 Conference paper 4 Konferenzbeitrag 4 Lehrbuch 4 Textbook 4 Anleitung 3 Collection of articles written by one author 3 Sammlung 3 Aufsatzsammlung 2 Mikroform 2 Case study 1 Conference proceedings 1 Congress Report 1 Dissertation u.a. Prüfungsschriften 1 Fallstudie 1 Festschrift 1 Forschungsbericht 1 Handbook 1 Handbuch 1 Konferenzschrift 1 Systematic review 1 Universitätsschrift 1 review-article 1 Übersichtsarbeit 1
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Language
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English 1,138 Undetermined 284 German 26 Spanish 4 Portuguese 2 Afrikaans 1 Czech 1 French 1 Italian 1
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Author
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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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Institution
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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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Published in...
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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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Showing 651 - 660 of 1,458
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Modeling Multivariate Extreme Events Using Self-Exciting Point Processes
Grothe, Oliver; Korniichuk, Volodymyr; Manner, Hans - Cologne Graduate School in Management, Economics and … - 2012
-varying dependence. The model is developed in the framework of the peaks-over-threshold approach in extreme value theory and relies on a …
Persistent link: https://www.econbiz.de/10010670833
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Risk measurement under extreme events. An in-context methodological review
Uribe, Jorge; Ulloa, Inés - In: Lecturas de Economía (2012) 76, pp. 87-117
financial crisis of 2007-2009. In addition, methodologies for the estimation of expected tail losses, based on the Extreme Value … Theory, are examined. Both kinds of measures are contrasted with the aim to create a ‘risk ranking’ of different stock …
Persistent link: https://www.econbiz.de/10010692906
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MODELING IMPACT OF CLIMATE CHANGE IN HYDROPOWER PROJECTS' FEASIBILITY VALUATION
SUAREZ, Ronny Araya - In: Journal of Environmental Management and Tourism III (2012) 2, pp. 70-75
simulations, therefore applying mixing unconditional disturbance and extreme value theory, a new path that satisfy a return level …
Persistent link: https://www.econbiz.de/10010698839
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Study of the Tail Dependence Structure in Global Financial Markets Using Extreme Value Theory
Wu, Jian; Zhang, Zhengjun; Zhao, Yong - In: Journal of Reviews on Global Economics 1 (2012), pp. 62-81
different financial markets will lead to erroneous conclusions or suboptimal investment choices. The multivariate extreme value … theory framework in this study has the potential to serve as an useful tool in exploiting arbitrage opportunities, optimizing …
Persistent link: https://www.econbiz.de/10010667384
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Detecting Risk Transfer in Financial Markets using Different Risk Measures
Fałdziński, Marcin; Osińska, Magdalena; Zdanowicz, Tomasz - In: Central European Journal of Economic Modelling and … 4 (2012) 1, pp. 45-64
such methods and tools that can fit properly for catastrophic events. In the paper Extreme Value Theory (EVT) invented …
Persistent link: https://www.econbiz.de/10010667725
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Stock index Value-at-Risk forecasting: A realized volatility extreme value theory approach
Louzis, Dimitrios P.; Sissinis, Spyros Xanthopoulos -; … - In: Economics Bulletin 32 (2012) 1, pp. 981-991
with the Extreme Value Theory (EVT) method for Value-at-Risk (VaR) forecasting. The proposed model accounts for the long …
Persistent link: https://www.econbiz.de/10011278823
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The Simple Econometrics of Tail Dependence
van Oordt, Maarten R.C. - 2012
analysis. This yields the same estimates as the non-parametric method within the multivariate Extreme Value Theory framework …
Persistent link: https://www.econbiz.de/10013113675
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Systematic Risk Under Extremely Adverse Market Conditions
van Oordt, Maarten R.C. - 2012
Extreme losses are the major concern in risk management. However, the dependence between financial assets and the market portfolio is known to change under extremely adverse market conditions. This is why we develop a measure of systematic tail risk, the tail regression beta, defined by an...
Persistent link: https://www.econbiz.de/10013115132
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Early Warning Systems for Currency Crises : A Multivariate Extreme Value Approach
Cumperayot, Phomchanok - 2012
We apply extreme value theory to assess the tail dependence between three currency crises measures and 18 economic …
Persistent link: https://www.econbiz.de/10013115235
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Multivariate Nonparametric Estimation of Value at Risk and Expected Shortfall for Nonlinear Returns Using Extreme Value Theory
Brauchler, Ryan - 2012
extreme value theory (EVT) to propose a multivariate estimation procedure for value-at-risk (VaR) and expected shortfall (ES …
Persistent link: https://www.econbiz.de/10013100621
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