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PELVE : probability equivalent level of VaR and ES
Li, Hengxin; Wang, Ruodu - In: Journal of econometrics 234 (2023) 1, pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
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Fat tails, VaR and subadditivity
Daníelsson, Jón; Jorgensen, Bjorn N.; Samorodnitsky, … - In: Journal of econometrics 172 (2013) 2, pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
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VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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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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ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati; Girard, Stéphane; Stupfler, Gilles - In: Journal of econometrics 221 (2021) 1, pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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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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Toward an empirical analysis of polarization
Anderson, Gordon - In: Journal of econometrics 122 (2004) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10002136422
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Extended Neyman smooth goodness-of-fit tests, applied to competing heavy-tailed distributions
McCulloch, J. Huston; Percy, E. Richard - In: Journal of econometrics 172 (2013) 2, pp. 275-282
Persistent link: https://www.econbiz.de/10009706203
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Moment condition tests for heavy tailed time series
Hill, Jonathan B.; Aguilar, Mike - In: Journal of econometrics 172 (2013) 2, pp. 255-274
Persistent link: https://www.econbiz.de/10009706204
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Stationarity-based specification tests for diffusions when the process is nonstationary
Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of econometrics 169 (2012) 2, pp. 279-292
Persistent link: https://www.econbiz.de/10009673191