Narrow search
Showing 1 - 10 of 1,164
Cover Image
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
Cover Image
Exact inference in diagnosing Value-at-Risk estimates : a Monte Carlo device
Herwartz, Helmut - In: Economics letters 103 (2009) 3, pp. 160-162
Persistent link: https://www.econbiz.de/10003854913
Cover Image
A simple and focused backtest of value at risk
Krämer, Walter; Wied, Dominik - In: Economics letters 137 (2015), pp. 29-31
Persistent link: https://www.econbiz.de/10011436196
Cover Image
A simple estimator for partial linear regression with endogenous nonparametric variables
Delgado, Michael S.; Parmeter, Christopher F. - In: Economics letters 124 (2014) 1, pp. 100-103
Persistent link: https://www.econbiz.de/10010490581
Cover Image
VaR-implied tail-correlation matrices
Mittnik, Stefan - In: Economics letters 122 (2014) 1, pp. 69-73
Persistent link: https://www.econbiz.de/10010393953
Cover Image
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
Cover Image
Portfolio management with cryptocurrencies : the role of estimation risk
Platanakis, Emmanouil; Urquhart, Andrew - In: Economics letters 177 (2019), pp. 76-80
Persistent link: https://www.econbiz.de/10012121498
Cover Image
Efficient VAR discretization
Gordon, Grey - In: Economics letters 204 (2021), pp. 1-8
Persistent link: https://www.econbiz.de/10012607567
Cover Image
Heavy tails and copulas : limits of diversification revisited
Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107
Persistent link: https://www.econbiz.de/10011620157
Cover Image
Bitcoin risk modeling with blockchain graphs
Akcora, Cuneyt Gurcan; Dixon, Matthew F.; Gel, Yulia R.; … - In: Economics letters 173 (2018), pp. 138-142
Persistent link: https://www.econbiz.de/10012022965