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subject:"Outliers"
~isPartOf:"International review of financial analysis"
~isPartOf:"Journal of mathematical finance"
~subject:"Simulation"
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Search: subject_exact:"Extreme value theory"
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Outliers
Simulation
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Abdessalem, Mehdi Bekralas
1
Ahelegbey, Daniel Felix
1
Assaf, Ata
1
Bax, Karoline
1
Berger, Theo
1
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International review of financial analysis
Journal of mathematical finance
Insurance / Mathematics & economics
33
Discussion paper / Center for Economic Research, Tilburg University
22
Applied economics
17
Risks : open access journal
15
Economic modelling
14
Journal of banking & finance
14
Journal of econometrics
14
Discussion paper / Tinbergen Institute
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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The journal of operational risk
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Journal of empirical finance
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Economics letters
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Energy economics
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Journal of risk
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International review of economics & finance : IREF
8
Journal of international financial markets, institutions & money
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of forecasting
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Journal of international money and finance
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SFB 649 discussion paper
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The journal of risk model validation
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Astin bulletin : the journal of the International Actuarial Association
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European journal of operational research : EJOR
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18
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1
When one domino falls, others follow : a machine learning analysis of extreme risk spillovers in developed stock markets
Sitara Karim
;
Muhammad Shafiullah
;
Naeem, Muhammad Abubakr
- In:
International review of financial analysis
93
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014543472
Saved in:
2
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano
;
Nave Pineda, Juan M.
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
Saved in:
3
ESG, risk, and (tail) dependence
Bax, Karoline
;
Sahin, Özge
;
Czado, Claudia
;
Paterlini, …
- In:
International review of financial analysis
87
(
2023
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014456333
Saved in:
4
Asymptotic analysis for spectral risk measures parameterized by confidence level
Kato, Takashi
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 197-226
Persistent link: https://www.econbiz.de/10011846379
Saved in:
5
Measuring black swans in financial markets
Manhire, J. T.
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 227-239
Persistent link: https://www.econbiz.de/10011846384
Saved in:
6
Tail risk measurement in crypto-asset markets
Ahelegbey, Daniel Felix
;
Giudici, Paolo
;
Mojtahedi, Fatemeh
- In:
International review of financial analysis
73
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012803601
Saved in:
7
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
Saved in:
8
Catastrophe risk derivatives : a new approach
Abdessalem, Mehdi Bekralas
;
Ohnishi, Masamitsu
- In:
Journal of mathematical finance
4
(
2014
)
1
,
pp. 21-34
Persistent link: https://www.econbiz.de/10010422906
Saved in:
9
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
10
Extreme downside risk spillover from the United States and Japan to Asia-Pacific stock markets
Liu, Lu
- In:
International review of financial analysis
33
(
2014
),
pp. 39-48
Persistent link: https://www.econbiz.de/10010520085
Saved in:
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