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Empirical analyses of extreme value models for the South African mining index
Chinhamu, Knowledge; Huang, Chun-Kai; Huang, Chun-Sung; … - In: The South African journal of economics 83 (2015) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10011382028
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Estimating bank default with generalised extreme value regression models
Calabrese, Raffaella; Giudici, Paolo - In: Journal of the Operational Research Society : OR 66 (2015) 11, pp. 1783-1792
Persistent link: https://www.econbiz.de/10011418442
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Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick - In: Journal of financial econometrics 20 (2022) 1, pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
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Nonparametric inference for extremal conditional quantiles
Kurisu, Daisuke; Otsu, Taisuke - 2021
Persistent link: https://www.econbiz.de/10012627480
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Leave-one-out kernel density estimates for outlier detection
Kandanaarachchi, Sevvandi; Hyndman, Rob J. - 2021
Persistent link: https://www.econbiz.de/10012614493
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Extreme value statistics using related variables
Ahmed, Hanan - 2022
Persistent link: https://www.econbiz.de/10013263346
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Nonparametric tests of tail behavior in stochastic frontier models
Horrace, William C.; Wang, Yulong - In: Journal of applied econometrics 37 (2022) 3, pp. 537-562
Persistent link: https://www.econbiz.de/10013186698
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Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz; Khan, Mrestyal; Irfan, Muhammad - In: Journal of risk management in financial institutions 16 (2022/2023) 2, pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
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The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri; Díaz Hernández, Adán; … - In: Applied economics 55 (2023) 37, pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
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Extremal quantiles and stock price crashes
Andreou, Panayiotis C.; Anyfantaki, Sofia; Maasoumi, … - In: Econometric reviews 42 (2023) 9/10, pp. 703-724
Persistent link: https://www.econbiz.de/10014420354