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Risikomaß
heavy tails
129
Heavy tails
117
Schätztheorie
85
Statistische Verteilung
84
Estimation theory
82
Statistical distribution
82
Bias reduction
57
semi-parametric estimation
56
Theorie
55
Theory
51
bias reduction
48
Schätzung
37
Estimation
35
Semi-parametric estimation
35
Risk measure
34
Nichtparametrisches Verfahren
30
Risiko
29
Portfolio-Management
28
Risk
28
Bias
27
Nonparametric statistics
27
Systematischer Fehler
27
Time series analysis
27
Zeitreihenanalyse
27
Kapitaleinkommen
26
Portfolio selection
26
ARCH model
25
ARCH-Modell
25
Capital income
25
Risk management
25
Volatility
24
Volatilität
24
Outliers
23
Risikomanagement
23
Ausreißer
21
Stochastischer Prozess
19
Stochastic process
18
Regression analysis
16
Regressionsanalyse
16
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12
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10
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Article
23
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10
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23
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23
Arbeitspapier
9
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9
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9
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9
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English
33
Author
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Daouia, Abdelaati
7
Stupfler, Gilles
7
Girard, Stéphane
5
Vries, Casper G. de
3
Hill, Jonathan B.
2
Hyung, Namwon
2
Iglesias, Emma M.
2
Mao, Tiantian
2
Yang, Fan
2
Alves, Isabel Fraga
1
Benkhelifa, Lazhar
1
Bianchi, Michele Leonardo
1
Bienvenüe, Alexis
1
Biglova, Almira
1
Challet, Damien
1
Chavez-Demoulin, V.
1
Chen Zhou
1
De Donno, Marzia
1
De Luca, Giovanni
1
Donati, Riccardo
1
Einmahl, Jesson J.
1
Einmahl, John H. J.
1
Embrechts, Paul
1
Fabozzi, Frank J.
1
Favero, Gino
1
Grabchak, Michael
1
Haan, Laurens de
1
Hammoudeh, Shawkat
1
Jakobsons, Edgars
1
Li, Hengxin
1
Mainik, Georg
1
Mitov, Georgi
1
Modesti, Paola
1
Nolde, Natalia
1
Oordt, Maarten R. C. van
1
Oordt, Maarten van
1
Ortobelli, Sergio
1
Padoan, Simone A.
1
Prokhorov, Artem
1
Rassoul, Abdelaziz
1
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Working papers / TSE : WP
6
Journal of econometrics
4
Insurance / Mathematics & economics
3
Annals of economics and statistics
1
Annals of finance
1
Applied mathematical finance
1
DNB working paper
1
Discussion paper / Center for Economic Research, Tilburg University
1
Discussion paper / Tinbergen Institute
1
Economic modelling
1
Financial markets and portfolio management
1
International journal of forecasting
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of policy modeling : JPMOD ; a social science forum of world issues
1
Journal of risk
1
Scandinavian actuarial journal
1
Swiss Finance Institute Research Paper
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
33
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1
High quantiles estimation with Quasi-PORT and DPOT : an application to value-at-risk for financial variables
Santos, Paulo Araújo
;
Alves, Isabel Fraga
;
Hammoudeh, …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 487-496
Persistent link: https://www.econbiz.de/10010367568
Saved in:
2
Kernel type estimator of the reinsurance premium for heavy-tailed loss distributions
Benkhelifa, Lazhar
- In:
Insurance / Mathematics & economics
59
(
2014
),
pp. 65-70
Persistent link: https://www.econbiz.de/10010469183
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
Limits to human life span through extreme value theory
Einmahl, Jesson J.
;
Einmahl, John H. J.
;
Haan, Laurens de
-
2017
Persistent link: https://www.econbiz.de/10011764583
Saved in:
5
Tail expectile process and risk assessment
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013490908
Saved in:
6
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupffer, Gilles
-
2018
Persistent link: https://www.econbiz.de/10013492959
Saved in:
7
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:
8
On agricultural commodities' extreme price risk
Oordt, Maarten van
;
Stork, Philip
;
Vries, Casper G. de
-
2013
Persistent link: https://www.econbiz.de/10010225579
Saved in:
9
Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz
- In:
Insurance / Mathematics & economics
53
(
2013
)
3
,
pp. 698-703
Persistent link: https://www.econbiz.de/10010227902
Saved in:
10
Simulating and calibrating diversification against black swans
Hyung, Namwon
;
Vries, Casper G. de
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1162-1175
Persistent link: https://www.econbiz.de/10009634272
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