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ECONIS (ZBW)
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1
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
Saved in:
2
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
Saved in:
3
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
4
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:
5
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
6
Large stochastic volatility in mean VARs
Cross, Jamie
;
Hou, Chenghan
;
Koop, Gary
;
Poon, Aubrey
- In:
Journal of econometrics
236
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014332245
Saved in:
7
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
Saved in:
8
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
Saved in:
9
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
Saved in:
10
A computationally efficient method for vector autoregression with mixed frequency data
Qian, Hang
- In:
Journal of econometrics
193
(
2016
)
2
,
pp. 433-437
Persistent link: https://www.econbiz.de/10011704991
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