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subject:"Risikomanagement"
~subject:"Estimation"
~isPartOf:"Journal of empirical finance"
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Search: subject_exact:"Extremwerttheorie"
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Risikomanagement
Estimation
Ausreißer
9
Outliers
9
Theorie
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8
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7
Risk measure
7
ARCH model
5
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Capital income
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Statistical distribution
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Portfolio selection
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Asset pricing
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Autoregressive conditional duration
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Bee, Marco
1
Changchien, Chang-Cheng
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Dupuis, Debbie J.
1
Herrera, Rodrigo
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Kao, Tzu-Chuan
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Kao, Wei-Shun
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Lin, Chu-Hsiung
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Mainik, Georg
1
Mitov, Georgi
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Rhee, S. Ghon
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Rüschendorf, Ludger
1
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Journal of empirical finance
Insurance / Mathematics & economics
11
Economic modelling
9
The journal of operational risk
9
Applied economics
8
Risks : open access journal
8
Discussion paper / Center for Economic Research, Tilburg University
7
Energy economics
6
International review of financial analysis
6
Journal of banking & finance
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of risk
6
CESifo working papers
5
Journal of international financial markets, institutions & money
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4
Economics letters
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Finance research letters
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Journal of mathematical finance
4
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The North American journal of economics and finance : a journal of financial economics studies
4
International journal of forecasting
3
Journal of financial econometrics
3
Journal of risk and financial management : JRFM
3
SFB 649 discussion paper
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The journal of risk model validation
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Theoretical economics letters
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Bank of England Working Paper
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DEM working paper series
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Documents de recherche / ESSEC Centre de Recherche
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Economics & finance notes
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International Journal of Financial Studies : open access journal
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International journal of finance & economics : IJFE
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Journal of agricultural economics
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Journal of international money and finance
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ECONIS (ZBW)
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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:
2
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:
3
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:
4
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:
5
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:
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