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1
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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2
Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
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3
Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu
;
Zhang, Zhengjun
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 470-487
Persistent link: https://www.econbiz.de/10012110325
Saved in:
4
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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5
Extreme expectile estimation for short-tailed data
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
- In:
Journal of econometrics
241
(
2024
)
2
,
pp. 1-18
Persistent link: https://www.econbiz.de/10015075192
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6
Measuring tail risk
Dierkes, Maik
;
Hollstein, Fabian
;
Prokopczuk, Marcel
; …
- In:
Journal of econometrics
241
(
2024
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10015075193
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7
Modeling multivariate extreme events using self-exciting point processes
Grothe, Oliver
;
Korniichuk, Volodymyr
;
Manner, Hans
- In:
Journal of econometrics
182
(
2014
)
2
,
pp. 269-289
Persistent link: https://www.econbiz.de/10010497083
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8
Tail dependence measure for examining financial extreme co-movements
Asimit, Alexandru V.
;
Gerrard, Russell
;
Hou, Yanxi
; …
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 330-348
Persistent link: https://www.econbiz.de/10011705189
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9
Bootstrap inference for Hawkes and general point processes
Cavaliere, Giuseppe
;
Lu, Ye
;
Rahbek, Anders
; …
- In:
Journal of econometrics
235
(
2023
)
1
,
pp. 133-165
Persistent link: https://www.econbiz.de/10014434387
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10
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
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