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Chen, Kan; Cheng, Tuoyuan - In: The Journal of finance and data science : JFDS 8 (2022), pp. 296-308

events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management …

Persistent link: https://www.econbiz.de/10014433723

Mean reversion in US and international short rates

Christiansen, Charlotte - In: The North American journal of economics and finance : a … 21 (2010) 3, pp. 286-296

Persistent link: https://www.econbiz.de/10009267822

Simultaneous confidence corridors and variable selection for generalized additive models

Zheng, Shuzhuan; Liu, Rong; Yang, Lijian; Härdle, Wolfgang - 2014

In spite of the widespread use of generalized additive models (GAMs), there is no well established methodology for simultaneous inference and variable selection for the components of GAM. There is no doubt that both, inference on the marginal component functions and their selection, are...

Persistent link: https://www.econbiz.de/10010230559

Markets liquidity risk under extremal dependence : analysis with VaRs methods

Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836

Persistent link: https://www.econbiz.de/10009667092

How do risk attitudes of clearing firms matter for managing default exposure in futures markets?

Cheng, Jie; Hong, Yi; Tao, Juan - In: The European journal of finance 22 (2016) 10/12, pp. 909-940

Persistent link: https://www.econbiz.de/10011715223

Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime

Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143

Persistent link: https://www.econbiz.de/10011597203

Extreme risk in resource indices and the generalized logistic distribution

Huang, Chun-Kai; Pather, Venelle; Hammujuddy, Jahvaid; … - In: The journal of applied business research 33 (2017) 2, pp. 283-296

Persistent link: https://www.econbiz.de/10011673879

Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets

Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118

Persistent link: https://www.econbiz.de/10011653721

Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets

Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380

Persistent link: https://www.econbiz.de/10011875432

Normal to extreme Operation Transition Threshold analysis for remanufacturing systems

Gavidel, Saeed Zamanzad; Rickli, Jeremy L. - In: International journal of production economics 213 (2019), pp. 46-54

Persistent link: https://www.econbiz.de/10012036216