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1
Commodity market risk from 1995 to 2013 : an extreme value
theory
approach
Fretheim, Torun
;
Kristiansen, Glenn
- In:
Applied economics
47
(
2015
)
25/27
,
pp. 2768-2782
Persistent link: https://www.econbiz.de/10010519613
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2
Tail dependence analysis of stock markets using extreme value
theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
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3
Dynamic conditional score models of degrees of freedom : filtering with score-driven heavy tails
Blazsek, Szabolcs
;
Monteros, Luis Antonio
- In:
Applied economics
49
(
2017
)
53
,
pp. 5426-5440
Persistent link: https://www.econbiz.de/10011845187
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4
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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5
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
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6
Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity
Javed, Farrukh
;
Kiss, Tamás
;
Österholm, Pär
- In:
Applied economics
54
(
2022
)
58
,
pp. 6669-6686
Persistent link: https://www.econbiz.de/10013494234
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7
Estimating multi-period value at risk of oil futures prices
Zhou, Chunyang
;
Qin, Xiao
;
Diao, Xundi
;
He, Yingchen
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
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8
Value at risk estimation by threshold stochastic volatility model
Huang, Alex
- In:
Applied economics
47
(
2015
)
43/45
,
pp. 4884-4900
Persistent link: https://www.econbiz.de/10011380922
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A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura
;
Silvapulle, Paramsothy
- In:
Applied economics
46
(
2014
)
28/30
,
pp. 3659-3672
Persistent link: https://www.econbiz.de/10010419979
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10
Portfolio management with tail dependence
Bergmann, Daniel Reed
;
Savoia, José Roberto Ferreira
; …
- In:
Applied economics
50
(
2018
)
51
,
pp. 5510-5520
Persistent link: https://www.econbiz.de/10012062255
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