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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
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271
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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
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154
Extreme Value Theory
151
Multivariate Verteilung
147
Multivariate distribution
147
Schätzung
147
Estimation
145
Kapitaleinkommen
139
Capital income
138
Volatility
131
Volatilität
126
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104
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103
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102
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99
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85
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84
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81
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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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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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961
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970
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961
Evidence of contagion in global REITs investment
Chang, Guang-Di
;
Chen, Chia-Shih
- In:
International review of economics & finance : IREF
31
(
2014
),
pp. 148-158
Persistent link: https://www.econbiz.de/10010490430
Saved in:
962
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
963
Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and
extreme
value
theory
: model validation for dynamic models
Ng, Dany Allen Nicholas Cheong Vee
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
8
(
2014
)
4
,
pp. 47-67
Persistent link: https://www.econbiz.de/10010506584
Saved in:
964
The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo
;
González, Nicolás
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
Saved in:
965
Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping
;
Feng, Xingdong
;
Huang, Zhuo
- In:
Economics letters
124
(
2014
)
3
,
pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
Saved in:
966
Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver
;
Korniichuk, Volodymyr
;
Manner, Hans
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 269-289
Persistent link: https://www.econbiz.de/10010497083
Saved in:
967
Volatility contagion in the Asian crisis : new evidence of volatility tail dependence
Karmann, Alexander
;
Herrera, Rodrigo
- In:
Review of development economics
18
(
2014
)
2
,
pp. 354-371
Persistent link: https://www.econbiz.de/10010503634
Saved in:
968
Black swans, antifragility and pattern recognition at the German stock market
Holtfort, Thomas
;
Krajewski, Jarek
- In:
Corporate finance : Finanzierung, Kapitalmarkt, …
5
(
2014
)
12
,
pp. 513-515
Persistent link: https://www.econbiz.de/10010436502
Saved in:
969
Quantifying the risk using copulae with nonparametric marginals
Bolancé, Catalina
;
Bahroui, Zuhair
;
Artís Ortuño, Manuel
- In:
Insurance / Mathematics & economics
58
(
2014
),
pp. 46-56
Persistent link: https://www.econbiz.de/10010437637
Saved in:
970
Tail dependence and indicators of systemic risk for large US depositories
Balla, Eliana
;
Ergen, Ibrahim
;
Migueis, Marco
- In:
Journal of financial stability
15
(
2014
),
pp. 195-209
Persistent link: https://www.econbiz.de/10011306458
Saved in:
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