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subject:"Outliers"
~person:"Allen, David E."
~person:"Chen Zhou"
~person:"Herrera, Rodrigo"
~type_genre:"Arbeitspapier"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Extreme value theory"
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Outliers
Ausreißer
39
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24
Risk measure
24
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20
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20
Statistical distribution
12
Statistische Verteilung
12
Portfolio selection
9
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extreme value theory
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Arbeitspapier
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39
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Allen, David E.
Chen Zhou
Herrera, Rodrigo
Einmahl, John H. J.
23
Daouia, Abdelaati
12
Stupfler, Gilles
10
Straetmans, Stefan
9
Haan, Laurens de
8
Kumar, Dilip
7
Stoja, Evarist
7
Vries, Casper G. de
7
Yang, Fan
7
Bormann, Carsten
6
Härdle, Wolfgang
6
McAleer, Michael
6
Schienle, Melanie
6
Stork, Philip
6
Zhang, Zhengjun
6
Beirlant, Jan
5
Cotter, John
5
Fabozzi, Frank J.
5
Girard, Stéphane
5
Giudici, Paolo
5
He, Yi
5
Hou, Yanxi
5
Li, Yushu
5
Pérez Amaral, Teodosio
5
Qin, Xiao
5
Schaumburg, Julia
5
Stoyanov, Stoyan V.
5
Trabelsi, Abdelwahed
5
Ahelegbey, Daniel Felix
4
Asimit, Alexandru V.
4
Bücher, Axel
4
Candelon, Bertrand
4
Chen, Yu
4
Clements, Adam
4
Echaust, Krzysztof
4
Ghorbel, Ahmed
4
Guillou, Armelle
4
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7
Discussion paper / Center for Economic Research, Tilburg University
5
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2
International journal of central banking : IJCB
2
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2
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2
The North American journal of economics and finance : a journal of financial economics studies
2
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ECONIS (ZBW)
39
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1
Tail copula estimation for heteroscedastic extremes
Einmahl, John H. J.
;
Chen Zhou
-
2024
Persistent link: https://www.econbiz.de/10014467520
Saved in:
2
Tail dependence of OLS
Oorschot, Jochem
;
Chen Zhou
- In:
Econometric theory
38
(
2022
)
2
,
pp. 273-300
Persistent link: https://www.econbiz.de/10013187225
Saved in:
3
An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile
Candia Campano, Claudio
;
Herrera, Rodrigo
- In:
Journal of empirical finance
77
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014578542
Saved in:
4
Testing the multivariate regular variation model
Einmahl, John H. J.
;
Yang, Fan
;
Chen Zhou
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 907-919
Persistent link: https://www.econbiz.de/10012653202
Saved in:
5
Extreme value statistics in semi-supervised models
Ahmed, Hanan
;
Einmahl, John H. J.
;
Chen Zhou
-
2021
Persistent link: https://www.econbiz.de/10012439457
Saved in:
6
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
7
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
Saved in:
8
Outlier detection in TARGET2 risk indicators
Heijmans, Ronald
;
Chen Zhou
-
2019
Persistent link: https://www.econbiz.de/10011966026
Saved in:
9
Estimating systematic risk under extremely adverse market conditions
Oordt, Maarten R. C. van
;
Chen Zhou
- In:
Journal of financial econometrics
17
(
2019
)
3
,
pp. 432–461
Persistent link: https://www.econbiz.de/10012054463
Saved in:
10
Testing the multivariate regular variation model
Einmahl, John H. J.
;
Yang, Fan
;
Chen Zhou
-
2018
Persistent link: https://www.econbiz.de/10011920524
Saved in:
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