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  • Search: subject:"tail behavior"
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Year of publication
Subject
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tail behavior 12 Statistische Verteilung 10 Tail behavior 10 Statistical distribution 9 Estimation theory 5 Schätztheorie 5 Theorie 5 Theory 5 Risikomaß 4 Risk measure 4 Ausreißer 3 Financial crisis 3 Finanzkrise 3 Outliers 3 Probability theory 3 Time series analysis 3 Wahrscheinlichkeitsrechnung 3 Zeitreihenanalyse 3 regular variation 3 stable probability distribution 3 stock markets 3 Börsenkurs 2 Estimation 2 Expected Shortfall 2 Portfolio selection 2 Portfolio-Management 2 Regression analysis 2 Regressionsanalyse 2 Risikomanagement 2 Risk management 2 Schätzung 2 Share price 2 USA 2 Volatility 2 Volatilität 2 Welt 2 World 2 extreme value theory 2 financial crisis 2 stochastic volatility model 2
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Online availability
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Undetermined 14 Free 7
Type of publication
All
Article 17 Book / Working Paper 8
Type of publication (narrower categories)
All
Article in journal 10 Aufsatz in Zeitschrift 10 Working Paper 5 Arbeitspapier 2 Graue Literatur 1 Non-commercial literature 1
Language
All
English 18 Undetermined 7
Author
All
Baruník, Jozef 2 Lindner, Alexander M. 2 Vacha, Lukas 2 Vošvrda, Miloslav 2 Alfonso, Léster 1 Barunik, Jozef 1 Benito, Sonia 1 Dahl, Christian M. 1 Dungey, Mardi H. 1 Fasen, Vicky 1 Furno, Marilena 1 Gadea, María Dolores 1 Ghysels, Eric 1 Gonzalo, Jesús 1 Gómez-Ullate, David 1 Holloway, Jet 1 Hristopulos, Dionissios T. 1 Hua, Lei 1 Iglesias, Emma M. 1 Janczura, Joanna 1 Joe, Harry 1 Jongen, Ron 1 Klüppelberg, Claudia 1 Koch Medina, Pablo 1 Kratz, Marie 1 Kušnier, Jozef 1 Kwon, Ji Ho 1 Lee, Ho Jin 1 Maejima, Makoto 1 Mansilla, Ricardo 1 Martín, Carmen López 1 Meyer, Katharina M. M. 1 Mizera, Ivan 1 Mohammadpour, Saeed 1 Mouslopoulou, Vasiliki 1 Munari, Cosimo-Andrea 1 Najafabadi, Amir T. Payandeh 1 Olmo, Jose 1 Schluter, Christian 1 Singha, Sibsankar 1
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Institution
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 1 Institut ekonomických studií, Univerzita Karlova v Praze 1 Luxembourg School of Finance, Faculté de droit, d'économie et de finance 1
Published in...
All
Physica A: Statistical Mechanics and its Applications 3 Annals of the Institute of Statistical Mathematics 2 Discussion Paper 2 Asia-Pacific journal of risk and insurance : APJRI 1 Czech Economic Review 1 Documents de recherche 1 Econometric reviews 1 HSC Research Reports 1 IES Working Paper 1 Journal of Multivariate Analysis 1 Journal of banking & finance 1 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of financial econometrics 1 Journal of international financial markets, institutions & money 1 LSF Research Working Paper Series 1 Quantitative finance 1 The Korean economic review 1 The journal of computational finance : JFC 1 The journal of operational risk 1 Working Papers IES 1 Working paper 1
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Source
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ECONIS (ZBW) 12 RePEc 10 EconStor 3
Showing 1 - 10 of 25
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Comparing multivariate distributions : a novel approach using optimal transport-based plots
Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024
Persistent link: https://www.econbiz.de/10014545370
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Extremiles, quantiles and expectiles in the tails
Furno, Marilena - In: The journal of computational finance : JFC 27 (2023) 3, pp. 87-113
Persistent link: https://www.econbiz.de/10014487044
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The tail behavior due to the presence of the risk premium in AR-GARCH-in-Mean, GARCH-AR, and Double-Autoregressive-in-Mean models
Dahl, Christian M.; Iglesias, Emma M. - In: Journal of financial econometrics 20 (2022) 1, pp. 139-159
Persistent link: https://www.econbiz.de/10012878189
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Testing extreme warming and geographical heterogeneity
Gadea, María Dolores; Gonzalo, Jesús; Olmo, Jose - 2024
Persistent link: https://www.econbiz.de/10015395810
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Characterizing financial crises using high-frequency data
Dungey, Mardi H.; Holloway, Jet; Yalaman, Abdullah; … - In: Quantitative finance 22 (2022) 4, pp. 743-760
Persistent link: https://www.econbiz.de/10013367856
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Tail behavior of Bitcoin, the dollar, gold and the stock market index
Kwon, Ji Ho - In: Journal of international financial markets, … 67 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012495859
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Size distributions reconsidered
Schluter, Christian; Trede, Mark - In: Econometric reviews 38 (2019) 6, pp. 695-710
Persistent link: https://www.econbiz.de/10012181347
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A review of the state of the art in quantifying operational risk
Benito, Sonia; Martín, Carmen López - In: The journal of operational risk 13 (2018) 4, pp. 89-129
Persistent link: https://www.econbiz.de/10011976061
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A k-Inflated negative binomial mixture regression model : application to rate-making systems
Najafabadi, Amir T. Payandeh; Mohammadpour, Saeed - In: Asia-Pacific journal of risk and insurance : APJRI 12 (2018) 2, pp. 1-31
Persistent link: https://www.econbiz.de/10011898067
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Black swans or dragon kings? A simple test for deviations from the power law
Janczura, Joanna; Weron, Rafal - Hugo Steinhaus Center for Stochastic Methods, … - 2011
We develop a simple test for deviations from power law tails, which is based on the asymptotic properties of the empirical distribution function. We use this test to answer the question whether great natural disasters, financial crashes or electricity price spikes should be classified as dragon...
Persistent link: https://www.econbiz.de/10009323909
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