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ECONIS (ZBW)
357
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1
Out of shape : the implications of (extremely) nonnormal dependent variables
Certo, S. Trevis
;
Raney, Kristen
;
Albader, Latifa
; …
- In:
Organizational research methods : ORM
27
(
2024
)
2
,
pp. 195-222
Persistent link: https://www.econbiz.de/10014581654
Saved in:
2
Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya
;
Paul, Samit
- In:
Global business review
25
(
2024
)
2
,
pp. 468-490
Persistent link: https://www.econbiz.de/10014634250
Saved in:
3
When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets
Sitara Karim
;
Muhammad Shafiullah
;
Naeem, Muhammad Abubakr
- In:
International review of financial analysis
93
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014543472
Saved in:
4
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:
5
Semi-nonparametric estimation of operational risk capital with extreme loss events
Chen, Heng Z.
;
Cosslett, Stephen R.
- In:
The journal of operational risk
19
(
2024
)
1
,
pp. 51-86
Persistent link: https://www.econbiz.de/10014490229
Saved in:
6
Flexible markov-switching models with evolving regime-specific parameters : an application to Brazilian business cycles
Gomes, Fábio A.
;
Melo, Lívia C. M.
;
Soave, Gian Paulo
- In:
Applied economics
56
(
2024
)
14
,
pp. 1705-1722
Persistent link: https://www.econbiz.de/10014473203
Saved in:
7
A comparative analysis of the outliers influence using GMM estimation based on dynamic panel data model
Fan, Xingyu
;
Peng, Zhisheng
- In:
Applied economics letters
31
(
2024
)
2
,
pp. 170-175
Persistent link: https://www.econbiz.de/10014448285
Saved in:
8
Risky oil : it's all in the tails
Baumeister, Christiane
;
Huber, Florian
;
Marcellino, …
-
2024
Persistent link: https://www.econbiz.de/10014537272
Saved in:
9
Tail risk intersection between tech-tokens and tech-stocks
Abdullah, Mohammad
;
Sarker, Provash Kumer
;
Abakah, …
- In:
Global finance journal
61
(
2024
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014635967
Saved in:
10
M-quantile estimation for GARCH models
Patrocinio, Patrick F.
;
Reisen, Valdério Anselmo
; …
- In:
Computational economics
63
(
2024
)
6
,
pp. 2175-2192
Persistent link: https://www.econbiz.de/10014636726
Saved in:
11
Foreseeing extreme technological risk
Kemp, Luke
- In:
Managing extreme technological risk
,
(pp. 87-108)
.
2024
Persistent link: https://www.econbiz.de/10014637008
Saved in:
12
Forecasting the VaR of the crude oil market : a combination of mixed data sampling and extreme value theory
Lyu, Yongjian
;
Qin, Fanshu
;
Ke, Rui
;
Yang, Mo
;
Chang, …
- In:
Energy economics
133
(
2024
),
pp. 1-10
Persistent link: https://www.econbiz.de/10015049483
Saved in:
13
Systematic extreme correlation of Chinese stock market
Long, Jun
;
Yuan, Xianghui
;
Jin, Liwei
;
Zhao, Chencheng
; …
- In:
Applied economics
56
(
2024
)
39
,
pp. 4718-4729
Persistent link: https://www.econbiz.de/10014560394
Saved in:
14
Nowcasting bitcoin's crash risk with order imbalance
Koutmos, Dimitrios
;
Wang Chun Wei
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 125-154
Persistent link: https://www.econbiz.de/10014341029
Saved in:
15
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
16
Robust regression for electricity demand forecasting against cyberattacks
VandenHeuvel, Daniel
;
Wu, Jinran
;
Wang, You-Gan
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1573-1592
Persistent link: https://www.econbiz.de/10014465333
Saved in:
17
Subsample analysis of stock market : cryptocurrency returns tail dependence : acopula approach for the tails
Boukef Jlassi, Nabila
;
Jeribi, Ahmed
;
Lahiani, Amine
; …
- In:
Finance research letters
58
(
2023
)
1
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014582463
Saved in:
18
The tail risk surface
Ahn, Jungkyu
;
Ahn, Yongkil
- In:
Finance research letters
58
(
2023
)
3
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014631255
Saved in:
19
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
Saved in:
20
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano
;
Nave Pineda, Juan M.
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
Saved in:
21
Portfolio selection : from under-diversification to concentration
Xu, Jiawen
;
Li, Yixuan
;
Liu, Kai
;
Chen, Tao
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
4
,
pp. 1539-1557
Persistent link: https://www.econbiz.de/10014253700
Saved in:
22
Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)
Benito, Sonia
;
López-Martín, Carmen
;
Navarro, Mª Ángeles
- In:
Risk management : an international journal
25
(
2023
)
1
,
pp. 1-31
Persistent link: https://www.econbiz.de/10013490818
Saved in:
23
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
24
Statistical inference for extreme extremile in heavy-tailed heteroscedastic regression model
Chen, Yu
;
Ma, Mengyuan
;
Sun, Hongfang
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 142-162
Persistent link: https://www.econbiz.de/10014317142
Saved in:
25
Climate change and risk scenario in Bangladesh
Rahman, Mohammad Chhiddikur
;
Rahaman, Md Shajedur
; …
- In:
Asia-Pacific journal of regional science
7
(
2023
)
2
,
pp. 381-404
Persistent link: https://www.econbiz.de/10014327333
Saved in:
26
Tail dependence, dynamic linkages, and extreme spillover between the stock and China's commodity markets
Wang, Suhui
- In:
Journal of commodity markets
29
(
2023
),
pp. 1-36
Persistent link: https://www.econbiz.de/10014277612
Saved in:
27
Are gold, USD, and Bitcoin hedge or safe haven against stock? : the implication for risk management
Sharma, Udayan
;
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
41
(
2023
)
1
,
pp. 43-64
Persistent link: https://www.econbiz.de/10014278639
Saved in:
28
Electricity market liberalization and efficiency : evidence from Singapore
Qu, Feng
;
Zhou, Shihao
- In:
The Singapore economic review
68
(
2023
)
3
,
pp. 651-669
Persistent link: https://www.econbiz.de/10014365679
Saved in:
29
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
30
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
31
Measuring non-exchangeable tail dependence using tail copulas
Koike, Takaaki
;
Kato, Shogo
;
Hofert, Marius
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
2
,
pp. 466-487
Persistent link: https://www.econbiz.de/10014320337
Saved in:
32
Securitization of pandemic risk by using coronabond
Haffar, Adlane
;
Le Fur, Eric
;
Khordj, Mohamed
- In:
Financial markets and portfolio management
37
(
2023
)
2
,
pp. 209-229
Persistent link: https://www.econbiz.de/10014321858
Saved in:
33
Censored density forecasts : production and evaluation
Mitchell, James
;
Weale, Martin
- In:
Journal of applied econometrics
38
(
2023
)
5
,
pp. 714-734
Persistent link: https://www.econbiz.de/10014338140
Saved in:
34
Multiscale tail risk interdependence between precious metals
Živkov, Dejan
;
Gajić-Glamočlija, Marina
;
Ercegovac, …
- In:
Finance a úvěr
73
(
2023
)
4
,
pp. 392-412
Persistent link: https://www.econbiz.de/10014485252
Saved in:
35
Extremes of extremes : risk assessment for very small samples with an exemplary application for cryptocurrency returns
Börner, Christoph J.
;
Hoffmann, Ingo
;
Krettek, Jonas
; …
- In:
Journal of risk : JOR
26
(
2023
)
1
,
pp. 77-97
Persistent link: https://www.econbiz.de/10014487287
Saved in:
36
Peak-to-valley drawdowns : insights into extreme path-dependent market risk
Geboers, Hans
;
Depaire, Benoit
;
Straetmans, Stefan
- In:
Journal of risk : JOR
26
(
2023
)
2
,
pp. 65-104
Persistent link: https://www.econbiz.de/10014487302
Saved in:
37
Measuring tail operational risk in univariate and multivariate models with extreme losses
Yang, Yang
;
Gong, Yishan
;
Liu, Jiajun
- In:
The journal of operational risk
18
(
2023
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10014490082
Saved in:
38
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
Saved in:
39
Joint extreme risk of energy prices-evidence from European energy markets
Sun, Yiqun
;
Ji, Hao
;
Cai, Xiurong
;
Li, Jiangchen
- In:
Finance research letters
56
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014473608
Saved in:
40
Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu
;
Gao, Yu
;
Shu, Lei
;
Zhu, Xiaonan
- In:
Finance research letters
56
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
Saved in:
41
ESG, risk, and (tail) dependence
Bax, Karoline
;
Sahin, Özge
;
Czado, Claudia
;
Paterlini, …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014456333
Saved in:
42
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:
43
Modelling the real exchange rate misalignment in the presence of outliers for developing countries
Ettbib, Ridha
;
Eddaly, Mansour
- In:
Afro-Asian Journal of Finance and Accounting : AAJFA
13
(
2023
)
5
,
pp. 629-650
Persistent link: https://www.econbiz.de/10014391403
Saved in:
44
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
45
Outliers and momentum in the corporate bond market
Galvani, Valentina
;
Li, Lifang
- In:
The quarterly review of economics and finance : journal …
89
(
2023
),
pp. 135-148
Persistent link: https://www.econbiz.de/10014428419
Saved in:
46
What can outliers teach us about entrepreneurial success?
Ruef, Martin
;
Birkhead, Colin
;
Aldrich, Howard E.
- In:
Journal of small business & enterprise development
30
(
2023
)
6
,
pp. 1088-1108
Persistent link: https://www.econbiz.de/10014430420
Saved in:
47
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
48
Is idiosyncratic tail risk priced in the cross-section of bond returns? : evidence from Chinese bond markets
Huang, Wei-Qiang
;
Zhang, Jing
;
Liu, Peipei
- In:
Applied economics letters
30
(
2023
)
10
,
pp. 1318-1326
Persistent link: https://www.econbiz.de/10014304235
Saved in:
49
Backtesting the evaluation of Value-at-Risk methods for exchange rates
Mrkvička, Tomáš
;
Krásnická, Martina
;
Friebel, Ludvík
- In:
Studies in economics and finance
40
(
2023
)
1
,
pp. 175-191
Persistent link: https://www.econbiz.de/10013503890
Saved in:
50
How people deal with ... outliers
Dannals, Jennifer E.
;
Oppenheimer, Daniel M.
- In:
Journal of behavioral decision making
36
(
2023
)
3
,
pp. 1-15
Persistent link: https://www.econbiz.de/10014290393
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