EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Multivariate Extreme Value Theory"
Narrow search

Narrow search

Year of publication
Subject
All
Multivariate extreme value theory 12 Ausreißer 10 Outliers 10 Risikomaß 9 Risk measure 9 Risikomanagement 7 Risk management 7 multivariate extreme value theory 7 Multivariate Extreme Value Theory 5 Statistical distribution 5 Statistische Verteilung 5 Systemic risk 5 Systemrisiko 5 Theorie 5 Theory 5 ARCH model 4 ARCH-Modell 4 Bank 4 Bank risk 4 Bankrisiko 4 Financial crisis 4 Finanzkrise 4 dependence structure 4 Asymptotic dependence 3 Asymptotic independence 3 Estimation theory 3 Financial sector 3 Finanzsektor 3 Risiko 3 Risk 3 Schätztheorie 3 Tail dependence 3 Tail probability 3 systemic risk 3 Banking 2 Conditional probability of joint failure 2 Copula 2 Financial market 2 Finanzmarkt 2 MEVT 2
more ... less ...
Online availability
All
Undetermined 14 Free 8
Type of publication
All
Article 17 Book / Working Paper 8
Type of publication (narrower categories)
All
Article in journal 9 Aufsatz in Zeitschrift 9 Working Paper 2 Arbeitspapier 1
Language
All
English 15 Undetermined 10
Author
All
Ferreira, Helena 3 Ferreira, Marta 3 Straetmans, Stefan 3 Chaudhry, Sajid M. 2 Dias, Alexandra 2 Garita, Gus 2 Ghorbel, Ahmed 2 Hartmann, Philipp 2 Qin, Xiao 2 Trabelsi, Abdelwahed 2 de Vries, Casper 2 Ahmed, Rizwan 1 Anne, Dutfoy 1 Bee, Marco 1 Benjasak, Chonlakan 1 Bienvenüe, Alexis 1 Chen Zhou 1 Cui, Qiurong 1 Dominicy, Yves 1 Falk, Michael 1 Ferreira, H. 1 Heikilä, Matias 1 Ilmonen, Pauliina 1 Martins, A. 1 Nicolas, Roche 1 Robert, Christian Yann 1 Sylvie, Parey 1 Tichy, Diana 1 Toan Luu Duc Huynh 1 Zhang, Zhengjun 1 Zhao, Zifeng 1 Zhou, Chen 1 Zhou, Chunyang 1 Zou, Chen 1
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 de Nederlandsche Bank 2 Dipartimento di Economia e Management, Università degli Studi di Trento 1 European Central Bank 1
Published in...
All
DNB Working Papers 2 Journal of banking & finance 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 MPRA Paper 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Annals of economics and statistics 1 Annals of the Institute of Statistical Mathematics 1 Department of Economics Working Papers / Dipartimento di Economia e Management, Università degli Studi di Trento 1 Dependence Modeling 1 ECARES working paper 1 ECB Working Paper 1 International Journal of Managerial and Financial Accounting 1 International journal of managerial and financial accounting 1 Journal of Banking & Finance 1 Journal of Multivariate Analysis 1 Journal of international money and finance 1 Pacific-Basin finance journal 1 Statistics & Probability Letters 1 Technological forecasting & social change : an international journal 1 Working Paper Series / European Central Bank 1
more ... less ...
Source
All
RePEc 14 ECONIS (ZBW) 10 EconStor 1
Showing 1 - 10 of 25
Cover Image
Tail risk and systemic risk of finance and technology (FinTech) firms
Chaudhry, Sajid M.; Ahmed, Rizwan; Toan Luu Duc Huynh; … - In: Technological forecasting & social change : an … 174 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013209636
Saved in:
Cover Image
Systemic risk allocation using the asymptotic marginal expected shortfall
Qin, Xiao; Chen Zhou - In: Journal of banking & finance 126 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012820456
Saved in:
Cover Image
Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
Saved in:
Cover Image
Multivariate extremes based on a notion of radius
Heikilä, Matias; Dominicy, Yves; Ilmonen, Pauliina - 2015
Persistent link: https://www.econbiz.de/10011673022
Saved in:
Cover Image
Financial structure and determinants of systemic risk contribution
Qin, Xiao; Zhou, Chunyang - In: Pacific-Basin finance journal 57 (2019), pp. 1-16
Persistent link: https://www.econbiz.de/10012170568
Saved in:
Cover Image
Max-linear competing factor models
Cui, Qiurong; Zhang, Zhengjun - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 1, pp. 62-74
Persistent link: https://www.econbiz.de/10011894393
Saved in:
Cover Image
Systemic tail risk distribution
Bienvenüe, Alexis; Robert, Christian Yann - In: Annals of economics and statistics 123/124 (2016), pp. 29-52
Persistent link: https://www.econbiz.de/10011592732
Saved in:
Cover Image
An Inquiry into Banking Portfolios and Financial Stability Surrounding "The Great Recession"
Garita, Gus - Volkswirtschaftliche Fakultät, … - 2010
By utilizing the extreme dependence structure and the conditional probability of joint failure (CPJF) between banks, this paper characterizes a risk-stability index (RSI) that quantifies (i) common distress of banks, (ii) distress between specific banks, and (iii) distress to a portfolio related...
Persistent link: https://www.econbiz.de/10008684868
Saved in:
Cover Image
Simulating copula-based distributions and estimating tail probabilities by means of Adaptive Importance Sampling
Bee, Marco - Dipartimento di Economia e Management, Università … - 2010
multivariate extreme value theory. In this paper we use a recently proposed generalization of Importance Sampling, called Adaptive …
Persistent link: https://www.econbiz.de/10008515834
Saved in:
Cover Image
Dependence structure of risk factors and diversification effects
Zou, Chen - de Nederlandsche Bank - 2009
In this paper, we study the aggregated risk from dependent risk factors under the multivariate Extreme Value theory …
Persistent link: https://www.econbiz.de/10004963333
Saved in:
  • 1
  • 2
  • 3
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...