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  • Search: subject:"Extreme values"
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Year of publication
Subject
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Extreme values 46 extreme values 36 Ausreißer 25 Outliers 25 Risikomaß 22 Risk measure 22 Statistical distribution 20 Statistische Verteilung 20 Estimation theory 17 Schätztheorie 17 Theorie 15 Theory 15 Estimation 13 Schätzung 13 Börsenkurs 10 Share price 10 Multivariate Verteilung 9 Multivariate distribution 9 Time series analysis 9 Volatility 9 Zeitreihenanalyse 9 multivariate extreme values 9 stable tail dependence function 9 Extreme Values 8 Volatilität 8 Capital income 7 Kapitaleinkommen 7 ARCH model 6 ARCH-Modell 6 Aktienindex 6 Forecasting model 6 Portfolio selection 6 Portfolio-Management 6 Probability theory 6 Prognoseverfahren 6 Risk management 6 Stock index 6 Wahrscheinlichkeitsrechnung 6 decomposition of tail dependence 6 subsample bootstrap 6
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Online availability
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Free 56 Undetermined 46 CC license 2
Type of publication
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Article 63 Book / Working Paper 52
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26 Working Paper 25 Arbeitspapier 17 Graue Literatur 17 Non-commercial literature 17 Article 2
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Language
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English 55 Undetermined 55 Spanish 3 French 2
Author
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Bormann, Carsten 12 Schienle, Melanie 12 Schaumburg, Julia 9 Daouia, Abdelaati 8 Maheswaran, S. 6 Stupfler, Gilles 6 Giles, David E. 5 Caserta, Silvia 4 Girard, Stéphane 4 Venegas-Martínez, Francisco 4 Barme-Delcroix, Marie-Francoise 3 Gather, Ursula 3 Padoan, Simone A. 3 Vries, Casper G. de 3 Bi, Guang 2 Bischoff, Wolfgang 2 Cangrejo Esquivel, Alvaro Javier 2 Feng, Hui 2 Garcin, Matthieu 2 García, Isabel Cristina 2 Guegan, Dominique 2 Hashorva, Enkelejd 2 Hilal, Sawson 2 Hüsler, Jürg 2 Kadlcakova, Narcisa 2 Komarkova, Zlatuse 2 Kratz, Marie 2 Kumar, Dilip 2 Kunihama, Tsuyoshi 2 Manotas Duque, Diego Fernando 2 Medford, Anthony 2 Miller, Frank 2 Nakajima, Jouchi 2 Omori, Yasuhiro 2 Ortiz-Arango, Francisco 2 Ortiz-Ramírez, Ambrosio 2 Oxley, Les 2 Padmakumari, Lakshmi 2 Poon, Ser-Huang 2 Reale, Marco 2
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Institution
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Department of Economics, University of Victoria 4 HAL 3 Tinbergen Instituut 2 Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne) 1 Department of Econometrics and Business Statistics, Monash Business School 1 Department of Economics and Finance, College of Business and Economics 1 Department of Economics, City University 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 ESSEC Business School 1 EconWPA 1 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. 1 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 1 Faculteit Toegepaste Economische Wetenschappen, Universiteit Antwerpen 1 Institut for Miljø og Erhvervsøkonomi, Syddansk Universitet 1 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 1 Institute for Monetary and Economic Studies, Bank of Japan 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Tinbergen Institute 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Česká Národní Banka 1
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Published in...
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Stochastic Processes and their Applications 7 Working papers / TSE : WP 6 Econometrics Working Papers 4 Post-Print / HAL 3 Statistics & Probability Letters 3 Tinbergen Institute Discussion Papers 3 Annals of the Institute of Statistical Mathematics 2 Discussion paper / Tinbergen Institute 2 EconoQuantum : Revista de Economía y Negocios 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Journal of econometrics 2 KIT Working Paper Series in Economics 2 Mathematics and Computers in Simulation (MATCOM) 2 Natural Hazards 2 Statistical Methods and Applications 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Tinbergen Institute Discussion Paper 2 Working paper series in economics 2 Applied Econometrics 1 Applied economics letters 1 BERG Working Paper Series 1 BERG working paper series 1 Computational Economics 1 Computational Statistics & Data Analysis 1 DEGIT Conference Papers 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion paper / Center for Economic Research, Tilburg University 1 Discussion papers in economic and social history 1 Documents de Travail de la DESE - Working Papers of the DESE 1 Documents de travail du Centre d'Economie de la Sorbonne 1 ERIM Report Series Research in Management 1 ESSEC Working Papers 1 EconoQuantum, Revista de Economia y Negocios 1 Economic Modelling 1 Economic modelling 1 Economics Bulletin 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Finance research letters 1 Financial markets and portfolio management 1
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Source
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RePEc 61 ECONIS (ZBW) 43 EconStor 10 Other ZBW resources 1
Showing 1 - 10 of 115
Cover Image
Power laws in socio-economics
Schulz, Jan; Weber, Jan David - 2025
Power laws are pervasive in economics and social sciences, particularly in the upper tails of distributions such as wealth, income, firm size, and city populations. Their scale-free property makes them a universal framework to understand phenomena spanning several orders of magnitude. This...
Persistent link: https://www.econbiz.de/10015338500
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Power laws in socio-economics
Schulz-Gebhard, Jan; Weber, Jan David - 2025
Power laws are pervasive in economics and social sciences, particularly in the upper tails of distributions such as wealth, income, firm size, and city populations. Their scale-free property makes them a universal framework to understand phenomena spanning several orders of magnitude. This...
Persistent link: https://www.econbiz.de/10015333277
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A copula-based data augmentation strategy for the sensitivity analysis of extreme operational losses
Chokami, A. Khorrami; Rabitti, G. - In: Quantitative finance 25 (2025) 5, pp. 841-849
Persistent link: https://www.econbiz.de/10015534156
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Measuring contagion effects of crude oil prices on sectoral stock price indices in India
Sahoo, Madhuchhanda; Shrivastava, Arvind Kumar; … - 2023
Persistent link: https://www.econbiz.de/10013483907
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Extreme expectile estimation for short-tailed data, with an application to market risk assessment
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2023
Persistent link: https://www.econbiz.de/10014227990
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Bias-reduced and variance-corrected asymptotic Gaussian Inference about extreme expectiles
Daouia, Abdelaati; Stupfler, Gilles; Usseglio-Carleve, … - 2023
Persistent link: https://www.econbiz.de/10014286699
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Dynamic modeling via autoregressive conditional GB2 for cross-sectional maxima of financial time series data
Fan, Ning; Zhang, Chunming; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 43 (2025) 4, pp. 968-978
Persistent link: https://www.econbiz.de/10015534565
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Estimación clásica y bayesiana de la volatilidad en el modelo de Black-Scholes
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de Métodos Cuantitativos para la Economía y … 34 (2022), pp. 237-262
distribution of the returns, extreme values are considered. These characteristics of the estimator allow that predictions of the …
Persistent link: https://www.econbiz.de/10014494469
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Estimación clásica y bayesiana de la volatilidad en el modelo de Black-Scholes
Cangrejo Esquivel, Alvaro Javier; Tovar Cuevas, José Rafael - In: Revista de métodos cuantitativos para la economía y … 34 (2022), pp. 237-262
distribution of the returns, extreme values are considered. These characteristics of the estimator allow that predictions of the …
Persistent link: https://www.econbiz.de/10013486201
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Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati; Padoan, Simone A.; Stupfler, Gilles - 2022
Persistent link: https://www.econbiz.de/10013170008
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