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Tail risk dynamics of banks with score-driven extreme value models
Fuentes, Fernanda; Herrera, Rodrigo; Clements, Adam - In: Journal of empirical finance 81 (2025), pp. 1-13
Persistent link: https://www.econbiz.de/10015405419
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Computing value at risk with high frequency data
Beltratti, Andrea; Morana, Claudio - In: Journal of empirical finance 6 (1999) 5, pp. 431-455
Persistent link: https://www.econbiz.de/10001505778
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Special issue on high frequency data in finance
Baillie, Richard (contributor);  … - 1997
Persistent link: https://www.econbiz.de/10001505850
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Value-at-Risk: a multivariate switching regime approach
Billio, Monica; Pelizzon, Loriana - In: Journal of empirical finance 7 (2000) 5, pp. 531-554
Persistent link: https://www.econbiz.de/10001545287
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Testing and comparing value-at-risk measures
Christoffersen, Peter F.; Hahn, Jinyong; Inoue, Atsushi - In: Journal of empirical finance 8 (2001) 3, pp. 325-342
Persistent link: https://www.econbiz.de/10001587072
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Portfolio selection with limited downside risk
Jansen, Dennis W.; Koedijk, Kees; Vries, Casper G. de - In: Journal of empirical finance 7 (2000) 3/4, pp. 247-269
Persistent link: https://www.econbiz.de/10001557717
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Estimation of tail-related risk measures for heteroscedastic financial time series : an extreme value approach
McNeil, Alexander J.; Frey, Rüdiger - In: Journal of empirical finance 7 (2000) 3/4, pp. 271-300
Persistent link: https://www.econbiz.de/10001557719
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Volatility dynamics under duration-dependent mixing
Maheu, John M.; McCurdy, Thomas H. - In: Journal of empirical finance 7 (2000) 3/4, pp. 345-372
Persistent link: https://www.econbiz.de/10001558275
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Special issue on high frequency data in finance ; Pt. 2
Baillie, Richard (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001558702
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Disturbing extremal behavior of spot rate dynamics
Bali, Turan G.; Neftci, Salih N. - In: Journal of empirical finance 10 (2003) 4, pp. 455-477
Persistent link: https://www.econbiz.de/10001782291