Similar Search Results

Comment on: "Testing hypotheses in nonparametric models of production" by Kneip, Simar, and Wilson (2016, JBES)

Asmild, Mette; Henningsen, Arne; Kronborg, Dorte; … - 2019

Persistent link: https://www.econbiz.de/10012132679

Estimation of extreme depth-based quantile regions

He, Yi; Einmahl, John H. J. - 2014

Persistent link: https://www.econbiz.de/10011282830

Spatial dependence and space-time trends in extreme event

Einmahl, John H. J.; Ferreira, Ana; Haan, Laurens de; … - 2020

Persistent link: https://www.econbiz.de/10012182625

Value at risk estimation for heavy tailed distributions

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206

Forecasting VaR models under different volatility processes and distributions of return innovations

Dendramis, Yiannis; Spungin, Giles E.; Tzavalis, Elias - In: Journal of forecasting 33 (2014) 7, pp. 515-531

Persistent link: https://www.econbiz.de/10011282095

Explaining the size distribution of cities : extreme economies

Berliant, Marcus C.; Watanabe, Hiroki - In: Quantitative economics : QE ; journal of the … 6 (2015) 1, pp. 153-187

Persistent link: https://www.econbiz.de/10011317317

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

Reexamining the likelihood of extreme returns in international stock market

Wang, Yun-Yi; Kao, Tzu-Chuan; Lin, Chu-Hsiung; Wei, Tsun-Jen - In: Investment management and financial innovations 12 (2015) 4, pp. 106-114

Persistent link: https://www.econbiz.de/10011575057

Forecasting based on decomposed financial return series : a wavelet analysis

Berger, Theo - In: Journal of forecasting 35 (2016) 5, pp. 419-433

Persistent link: https://www.econbiz.de/10011580976