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Ausreißer
10
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8
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8
Extreme value theory
6
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5
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Herrera, Rodrigo
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Bee, Marco
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Candia Campano, Claudio
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Changchien, Chang-Cheng
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Dupuis, Debbie J.
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Jalal, Amine
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James, Robert
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Ji, Jingru
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Kao, Tzu-Chuan
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Rockinger, Michael
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Rüschendorf, Ludger
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Trapin, Luca
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Wang, Donghua
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Wang, Yi-Chiuan
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Wu, Feng
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Wu, Jyh-lin
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Journal of empirical finance
Insurance / Mathematics & economics
33
Discussion paper / Center for Economic Research, Tilburg University
22
Applied economics
17
Risks : open access journal
15
Economic modelling
14
Journal of banking & finance
14
Journal of econometrics
14
Discussion paper / Tinbergen Institute
13
International review of financial analysis
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Finance research letters
11
The journal of operational risk
11
Working papers / TSE : WP
11
Economics letters
9
Energy economics
9
Journal of risk
9
DNB working paper
8
International review of economics & finance : IREF
8
Journal of international financial markets, institutions & money
8
The North American journal of economics and finance : a journal of financial economics studies
8
International journal of forecasting
7
Journal of international money and finance
7
SFB 649 discussion paper
7
Journal of mathematical finance
6
The journal of risk model validation
6
Working paper
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Working paper / National Bureau of Economic Research, Inc.
6
Applied economics letters
5
CESifo working papers
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Dissertation Series CentER
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Journal of financial econometrics
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Working paper / Department of Economics, Lund University
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Astin bulletin : the journal of the International Actuarial Association
4
CentER Discussion Paper Series
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Econometric reviews
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European journal of operational research : EJOR
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Financial markets and portfolio management
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1
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio
;
Herrera, Rodrigo
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
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
Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Ji, Jingru
;
Wang, Donghua
;
Xu, Dinghai
;
Xu, Chi
- In:
Journal of empirical finance
57
(
2020
),
pp. 52-70
Persistent link: https://www.econbiz.de/10012430436
Saved in:
4
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:
5
New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan
;
Wu, Jyh-lin
;
Lai, Yi-Hao
- In:
Journal of empirical finance
45
(
2018
),
pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
Saved in:
6
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:
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
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:
9
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:
10
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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