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subject:"Risk measure"
~isPartOf:"Economics letters"
~isPartOf:"Journal of empirical finance"
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Search: subject_exact:"Extreme value theory"
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Risk measure
Ausreißer
18
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18
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12
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12
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12
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11
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11
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10
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Ardakani, Omid M.
1
Bee, Marco
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Dupuis, Debbie J.
1
Feng, Xingdong
1
Gillas, Konstantinos Gkillas
1
Herrera, Rodrigo
1
Huang, Zhuo
1
Jalal, Amine
1
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1
Kao, Tzu-Chuan
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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
Mainik, Georg
1
Mitov, Georgi
1
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1
Prokhorov, Artem
1
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Rockinger, Michael
1
Rüschendorf, Ludger
1
Schipp, Bernhard
1
Sun, Pengfei
1
Trapin, Luca
1
Wu, Feng
1
Yi, Yanping
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Economics letters
Journal of empirical finance
Insurance / Mathematics & economics
22
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13
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11
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11
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9
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9
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7
Finance research letters
7
International journal of forecasting
7
International review of financial analysis
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Journal of risk
7
The North American journal of economics and finance : a journal of financial economics studies
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of econometrics
6
Journal of international financial markets, institutions & money
6
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6
DNB working paper
5
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Journal of mathematical finance
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SFB 649 discussion paper
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4
Journal of risk finance : the convergence of financial products and insurance
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The journal of risk model validation
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1
Capturing information in extreme events
Ardakani, Omid M.
- In:
Economics letters
231
(
2023
),
pp. 1-5
Persistent link: https://www.econbiz.de/10014461218
Saved in:
2
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
3
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
4
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
5
An application of extreme value theory to cryptocurrencies
Gillas, Konstantinos Gkillas
;
Katsiampa, Paraskevi
- In:
Economics letters
164
(
2018
),
pp. 109-11
Persistent link: https://www.econbiz.de/10011939961
Saved in:
6
Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.
;
Pagliardi, Giovanni
- In:
Economics letters
145
(
2016
),
pp. 252-254
Persistent link: https://www.econbiz.de/10011618837
Saved in:
7
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
8
Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping
;
Feng, Xingdong
;
Huang, Zhuo
- In:
Economics letters
124
(
2014
)
3
,
pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
Saved in:
9
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
10
Diagnosing the distribution of GARCH innovations
Sun, Pengfei
;
Chen Zhou
- In:
Journal of empirical finance
29
(
2014
),
pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
Saved in:
11
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo
;
Schipp, Bernhard
- In:
Journal of empirical finance
23
(
2013
),
pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Saved in:
12
Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine
;
Rockinger, Michael
- In:
Journal of empirical finance
15
(
2008
)
5
,
pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
Saved in:
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