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Search: subject:"peaks over threshold"
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extreme value theory
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Korniichuk, Volodymyr
4
Mapa, Dennis S.
4
Chavez-Demoulin, V.
3
Clements, Adam
3
Giles, David E.
3
Grothe, Oliver
3
Herrera, Rodrigo
3
Manner, Hans
3
Bee, Marco
2
Dissanayake, Pushpa
2
Embrechts, Paul
2
Falk, Michael
2
Feng, Hui
2
Flock, Teresa
2
Ghorbel, Ahmed
2
Glindro, Eloisa T.
2
Meier, Johanna
2
Santos, Edward P.
2
Sardy, S.
2
Sibbertsen, Philipp
2
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2
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1
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1
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1
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1
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1
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1
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1
Bermudez, P. Zea
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1
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1
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1
Cerovic Smolovic, Julija
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1
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1
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International journal of forecasting
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Macroeconomics and finance in emerging market economies
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Natural Hazards
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ECONIS (ZBW)
27
RePEc
23
EconStor
2
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11
An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
Chan, Stephen
;
Chu, Jeffrey
;
Zhang, Yuanyuan
; …
- In:
Research in international business and finance
59
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013402146
Saved in:
12
A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil
Argento, Pedro
;
Klotzle, Marcelo Cabus
;
Pinto, Antônio …
- In:
International journal of energy sector management
16
(
2022
)
3
,
pp. 448-468
Persistent link: https://www.econbiz.de/10013345666
Saved in:
13
Tempered pareto-type modelling using Weibull distributions
Albrecher, Hansjörg
;
Araujo Acuna, José Carlos
; …
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 509-538
Persistent link: https://www.econbiz.de/10012523254
Saved in:
14
A marked point process model for intraday financial returns : modeling extreme risk
Herrera, Rodrigo
;
Clements, Adam
- In:
Empirical economics : a journal of the Institute for …
58
(
2020
)
4
,
pp. 1575-1601
Persistent link: https://www.econbiz.de/10012219662
Saved in:
15
Severity modeling of extreme insurance claims for tariffication
Laudagé, Christian
;
Desmettre, Sascha
;
Wenzel, Jörg
- In:
Insurance / Mathematics & economics
88
(
2019
),
pp. 77-92
Persistent link: https://www.econbiz.de/10012105364
Saved in:
16
Realized
peaks
over
threshold
: a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Saved in:
17
Cat bond pricing under a product probability measure with pot risk characterization
Tang, Qihe
;
Yuan, Zhongyi
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
2
,
pp. 457-490
Persistent link: https://www.econbiz.de/10012056609
Saved in:
18
Contributions to modeling extreme events on financial and electricity markets : [kumulative Dissertation]
Korniichuk, Volodymyr
-
2013
Persistent link: https://www.econbiz.de/10010464305
Saved in:
19
A latent trawl process model for extreme values
Noven, Ragnhild C.
;
Veraart, Almut E. D.
;
Gandy, Axel
- In:
The journal of energy markets
11
(
2018
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012001918
Saved in:
20
Point process models for extreme returns : harnessing implied volatility
Herrera, Rodrigo
;
Clements, Adam
- In:
Journal of banking & finance
88
(
2018
),
pp. 161-175
Persistent link: https://www.econbiz.de/10011962603
Saved in:
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