Narrow search
Showing 1 - 3 of 3
Cover Image
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Cover Image
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of financial econometrics 17 (2019) 2, pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Cover Image
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - In: International review of financial analysis 89 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014467094