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Extreme value statistics and r...
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Showing
1
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10
of
71,392
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date (newest first)
date (oldest first)
1
Estimating and forecasting conditional risk measures with extreme value theory : a review
Bee, Marco
;
Trapin, Luca
- In:
Risks : open access journal
6
(
2018
)
2
,
pp. 1-16
, estimating and forecasting tail-related quantities of the asset returns’ conditional
distribution
. Recent advances in the …
Persistent link: https://www.econbiz.de/10011866456
Saved in:
2
Testing for Granger causality in
distribution
tails : an application to oil markets integration
Candelon, Bertrand
;
Joëts, Marc
;
Tokpavi, Sessi
- In:
Economic modelling
31
(
2013
),
pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
Saved in:
3
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
4
Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2015
Persistent link: https://www.econbiz.de/10011302290
Saved in:
5
Value-at-risk and extreme returns
Daníelsson, Jón
;
Vries, Casper G. de
-
1997
parametrically, while smaller risks are captured by the non-parametric empirical
distribution
function. The semi-parametric method is …
Persistent link: https://www.econbiz.de/10010533206
Saved in:
6
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
Saved in:
7
Can
volatility
models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
8
Measuring contagion risk in high
volatility
state among Taiwanese major banks
Su, Ender
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
3
,
pp. 185-241
Persistent link: https://www.econbiz.de/10011885900
Saved in:
9
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
Saved in:
10
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
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