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  • Search: subject:"multivariate extreme value"
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Year of publication
Subject
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Ausreißer 13 Outliers 13 Multivariate extreme value theory 12 Risikomaß 10 Risk measure 10 Theorie 9 Risikomanagement 8 Risk management 8 Theory 8 Statistical distribution 7 Statistische Verteilung 7 multivariate extreme value theory 7 ARCH model 5 ARCH-Modell 5 Multivariate Extreme Value Analysis 5 Multivariate Extreme Value Theory 5 Systemic risk 5 Systemrisiko 5 Tail dependence 5 Asymptotic (In-)dependence 4 Bank 4 Bank risk 4 Bankrisiko 4 Financial crisis 4 Finanzkrise 4 Finanzsektor 4 Risiko 4 Risk 4 Schätzung 4 Systemic Stability 4 dependence structure 4 Aktienmarkt 3 Asymptotic dependence 3 Asymptotic independence 3 Estimation 3 Estimation theory 3 Financial sector 3 Integration of European equity markets 3 International equity market linkages 3 Multivariate extremal index 3
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Online availability
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Undetermined 20 Free 19
Type of publication
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Article 23 Book / Working Paper 19
Type of publication (narrower categories)
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Article in journal 10 Aufsatz in Zeitschrift 10 Working Paper 7 Arbeitspapier 4 Graue Literatur 3 Non-commercial literature 3
Language
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English 23 Undetermined 19
Author
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Ferreira, Helena 5 Ferreira, Marta 4 Geluk, J.L. 3 Schich, Sebastian T. 3 Straetmans, Stefan 3 Bierlaire, Michel 2 Chaudhry, Sajid M. 2 Chen Zhou 2 Dias, Alexandra 2 Fosgerau, Mogens 2 Garita, Gus 2 Ghorbel, Ahmed 2 Haan, L. de 2 Haan, Laurens de 2 Hartmann, Philipp 2 Qin, Xiao 2 Trabelsi, Abdelwahed 2 Vries, C.G. de 2 de Vries, Casper 2 Ahmed, Rizwan 1 Anne, Dutfoy 1 Bee, Marco 1 Belbachir, Mohammadine 1 Belhajjam, Abdellah 1 Benjasak, Chonlakan 1 Bienvenüe, Alexis 1 Charpentier, A. 1 Cui, Qiurong 1 Dominicy, Yves 1 Einmahl, John H. J. 1 El Ouardirhi, Saad 1 Falk, Michael 1 Ferreira, Ana 1 Ferreira, H. 1 Fougères, A.-L. 1 Fougères, Anne-Laure 1 Geluk, J. L. 1 Genest, C. 1 Heikilä, Matias 1 Ilmonen, Pauliina 1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 de Nederlandsche Bank 3 Deutsche Bundesbank 1 Dipartimento di Economia e Management, Università degli Studi di Trento 1 European Central Bank 1 Tinbergen Institute 1 Tinbergen Instituut 1
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Published in...
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Journal of Multivariate Analysis 4 MPRA Paper 4 Annals of the Institute of Statistical Mathematics 2 DNB Working Papers 2 Journal of banking & finance 2 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 2 Statistics & Probability Letters 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Tinbergen Institute Discussion Papers 2 Annals of economics and statistics 1 Department of Economics Working Papers / Dipartimento di Economia e Management, Università degli Studi di Trento 1 Dependence Modeling 1 Discussion Paper Series 1 1 Discussion Paper Series 1: Economic Studies 1 Discussion paper / Center for Economic Research, Tilburg University 1 Discussion paper / Deutsche Bundesbank 1 Discussion paper / Tinbergen Institute 1 ECARES working paper 1 ECB Working Paper 1 Finance research letters 1 International Journal of Managerial and Financial Accounting 1 International journal of managerial and financial accounting 1 Journal of Banking & Finance 1 Journal of international money and finance 1 Pacific-Basin finance journal 1 Technological forecasting & social change : an international journal 1 Tinbergen Institute Discussion Paper 1 WO Research Memoranda (discontinued) 1 Working Paper Series / European Central Bank 1
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Source
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RePEc 25 ECONIS (ZBW) 14 EconStor 3
Showing 1 - 10 of 42
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Spatial dependence and space-time trends in extreme event
Einmahl, John H. J.; Ferreira, Ana; Haan, Laurens de; … - 2020
Persistent link: https://www.econbiz.de/10012182625
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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
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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
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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
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Multivariate extremes based on a notion of radius
Heikilä, Matias; Dominicy, Yves; Ilmonen, Pauliina - 2015
Persistent link: https://www.econbiz.de/10011673022
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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
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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
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Robust multivairiate extreme value at risk allocation
Belhajjam, Abdellah; Belbachir, Mohammadine; El … - In: Finance research letters 23 (2017), pp. 1-11
Persistent link: https://www.econbiz.de/10011808275
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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
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Choice probability generating functions
Fosgerau, Mogens; McFadden, Daniel; Bierlaire, Michel - Volkswirtschaftliche Fakultät, … - 2010
extreme value distributions, and reviews and extends methods for constructing generating functions for applications. The …. Mixtures of RUM are characterized by logarithmic mixtures of their associated CPGF. The paper relates CPGF to multivariate …
Persistent link: https://www.econbiz.de/10008493031
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