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type_genre:"Article in journal"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of risk"
~subject:"Outliers"
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Outliers
Risikomanagement
106
Risk management
106
Portfolio selection
53
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53
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52
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52
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52
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value-at-risk (VaR)
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Article in journal
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Almeida, Helena Tenório Veiga de
1
Auer, Benjamin R.
1
Belles-Sampera, James
1
Börner, Christoph J.
1
Changchien, Chang-Cheng
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Deege, Matthias
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Rüschendorf, Ludger
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1
Sarabia Alzaga, José Maria
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Journal of empirical finance
Journal of risk
Insurance / Mathematics & economics
9
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9
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7
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6
International review of financial analysis
6
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5
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ECONIS (ZBW)
9
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1
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
2
Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo
;
Börner, Christoph J.
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012500249
Saved in:
3
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon
;
Wu, Feng
- In:
Journal of empirical finance
58
(
2020
),
pp. 412-435
Persistent link: https://www.econbiz.de/10012430713
Saved in:
4
Modeling redemption risks of mutual funds using extreme value theory
Desmettre, Sascha
;
Deege, Matthias
- In:
Journal of risk
18
(
2016
)
6
,
pp. 1-37
Persistent link: https://www.econbiz.de/10011620647
Saved in:
5
The role of model risk in extreme value theory for capital adequacy
Kellner, Ralf
;
Rösch, Daniel
;
Scheule, Harald
- In:
Journal of risk
18
(
2016
)
6
,
pp. 39-70
Persistent link: https://www.econbiz.de/10011620651
Saved in:
6
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
7
Extreme value theory, asset ranking and threshold choice : a practical note on VaR estimation
Auer, Benjamin R.
- In:
Journal of risk
18
(
2015/2016
)
1
,
pp. 27-44
Persistent link: https://www.econbiz.de/10013262944
Saved in:
8
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
9
Outliers, GARCH-type models and risk measures : a comparison of several approaches
Grané, Aurea
;
Almeida, Helena Tenório Veiga de
- In:
Journal of empirical finance
26
(
2014
),
pp. 26-40
Persistent link: https://www.econbiz.de/10010472010
Saved in:
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