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isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Risk measure"
~subject:"Stochastic process"
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Insurance / Mathematics & economics
87
Journal of econometrics
39
Risks : open access journal
36
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32
Discussion paper / Tinbergen Institute
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10
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10
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1
Modeling extreme events : time-varying extreme tail shape
D'Innocenzo, Enzo
;
Lucas, André
;
Schwaab, Bernd
;
Zhang, Xin
- In:
Journal of business & economic statistics : JBES ; a …
42
(
2024
)
3
,
pp. 903-917
Persistent link: https://www.econbiz.de/10015053506
Saved in:
2
Risk analysis via generalized pareto distributions
He, Yi
;
Peng, Liang
;
Zhang, Dabao
;
Zhao, Zifeng
- In:
Journal of business & economic statistics : JBES ; a …
40
(
2022
)
2
,
pp. 852-867
Persistent link: https://www.econbiz.de/10013534572
Saved in:
3
Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.
;
Padoan, Simone A.
;
Stupfler, Gilles
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
Saved in:
4
Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets
Zhao, Zifeng
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 892-906
Persistent link: https://www.econbiz.de/10012653200
Saved in:
5
Measuring asset market linkages : nonlinear dependence and tail risk
Escanciano, Juan Carlos
;
Hualde, Javier
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
2
,
pp. 453-465
Persistent link: https://www.econbiz.de/10012499091
Saved in:
6
Flexible mixture-amount models using multivariate Gaussian processes
Ruseckaite, Aiste
;
Fok, Dennis
;
Goos, Peter
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 257-271
Persistent link: https://www.econbiz.de/10012262461
Saved in:
7
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Saved in:
8
Real-time macroeconomic forecasting with a heteroscedastic inversion copula
Loiza-Maya, Ruben
;
Smith, Michael S.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 470-486
Persistent link: https://www.econbiz.de/10012262488
Saved in:
9
Conditional extremes in asymmetric financial markets
Nolde, Natalia
;
Zhang, Jinyuan
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
1
,
pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
Saved in:
10
Confidence intervals for conditional tail risk measures in ARMA-GARCH models
Hoga, Yannick
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
4
,
pp. 613-624
Persistent link: https://www.econbiz.de/10012179001
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