On tail index estimation and financial risk management implications
Year of publication: |
2003
|
---|---|
Authors: | Wagner, Niklas F. |
Published in: |
Operations research proceedings 2002 : selected papers of the International Conference on Operations Research (SOR 2002) : Klagenfurt, September 2 - 5, 2002. - Berlin : Springer, ISBN 3-540-00387-8. - 2003, p. 321-328
|
Subject: | Schätztheorie | Estimation theory | Systematischer Fehler | Bias | Theorie | Theory | Risikomaß | Risk measure | Ausreißer | Outliers |
-
Kernel-type estimator of the conditional tail expectation for a heavy-tailed distribution
Rassoul, Abdelaziz, (2013)
-
A new unbiased additive robust volatility estimation using extreme values of asset prices
Shaik, Muneer, (2020)
-
Kaibuchi, Hibiki, (2022)
- More ...
-
Linear and Nonlinear Growth Determinants: The Case of Mongolia and its Connection to China
Chu, Amanda M.Y., (2020)
-
Tracking des Deutschen Aktienindexes (DAX) : Hintergründe und empirische Untersuchung
Wagner, Niklas F., (1998)
-
Credit risk : models, derivatives, and management
Wagner, Niklas F., (2008)
- More ...