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  • Search: subject:"High quantiles"
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Subject
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High quantiles 3 Statistics of extremes 3 Financial time series 2 Heavy tails 2 Quantitative risk management 2 ARCH model 1 ARCH-Modell 1 Estimation theory 1 Financial market 1 Finanzmarkt 1 Primary 62G32 1 Risikomanagement 1 Risikomaß 1 Risk management 1 Risk measure 1 Schätztheorie 1 Secondary 65C05 1 Semi-parametric estimation 1 Statistical distribution 1 Statistische Verteilung 1 Time series analysis 1 Zeitreihenanalyse 1 bias reduction 1 high quantiles 1 semi-parametric estimation 1 statistics of extremes 1
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Article 4
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1
Language
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Undetermined 3 English 1
Author
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Gomes, M. 2 Hammoudeh, Shawkat 2 Alves, Isabel Fraga 1 Araújo Santos, Paulo 1 Caeiro, Frederico 1 Figueiredo, Fernanda 1 Fraga Alves, Isabel 1 Santos, Paulo Araújo 1
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Published in...
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TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 The North American Journal of Economics and Finance 1 The North American journal of economics and finance : a journal of financial economics studies 1
Source
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RePEc 3 ECONIS (ZBW) 1
Showing 1 - 4 of 4
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High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo; Alves, Isabel Fraga; Hammoudeh, … - In: The North American journal of economics and finance : a … 26 (2013), pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
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High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables
Araújo Santos, Paulo; Fraga Alves, Isabel; Hammoudeh, … - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 487-496
Recurrent “black swans” financial events are a major concern for both investors and regulators because of the extreme price changes they cause, despite their very low probability of occurrence. In this paper, we use unconditional and conditional methods, such as the recently proposed high...
Persistent link: https://www.econbiz.de/10011056687
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Semi-parametric second-order reduced-bias high quantile estimation
Caeiro, Frederico; Gomes, M. - In: TEST: An Official Journal of the Spanish Society of … 18 (2009) 2, pp. 392-413
Persistent link: https://www.econbiz.de/10005004341
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Bias reduction in risk modelling: Semi-parametric quantile estimation
Gomes, M.; Figueiredo, Fernanda - In: TEST: An Official Journal of the Spanish Society of … 15 (2006) 2, pp. 375-396
Persistent link: https://www.econbiz.de/10005184323
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