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~isPartOf:"Journal of empirical finance"
~isPartOf:"Working paper series / European Central Bank"
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Search: subject_exact:"Statistical distribution"
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ARCH-Modell
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ECONIS (ZBW)
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1
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
2
Time-varying volatility and the power law distribution of stock returns
Warusawitharana, Missaka
- In:
Journal of empirical finance
49
(
2018
),
pp. 123-141
Persistent link: https://www.econbiz.de/10012117726
Saved in:
3
Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro
;
Maruotti, Antonello
;
Petrella, Lea
- In:
Journal of empirical finance
43
(
2017
),
pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
Saved in:
4
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
5
Testing of a market fraction model and power-law behaviour in the DAX 30
He, Xue-zhong
;
Li, Youwei
- In:
Journal of empirical finance
31
(
2015
),
pp. 1-17
Persistent link: https://www.econbiz.de/10011489318
Saved in:
6
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:
7
Diagnosing the distribution of GARCH innovations
Sun, Pengfei
;
Chen Zhou
- In:
Journal of empirical finance
29
(
2014
),
pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
Saved in:
8
Long memory dynamics for multivariate dependence under heavy tails
Janus, Paweł
;
Koopman, Siem Jan
;
Lucas, André
- In:
Journal of empirical finance
29
(
2014
),
pp. 187-206
Persistent link: https://www.econbiz.de/10011300485
Saved in:
9
Aggregational Gaussianity and barely infinite variance in financial returns
Antypas, Antonios
;
Koundouri, Phoebe
;
Kourogenis, Nikolaos
- In:
Journal of empirical finance
20
(
2013
),
pp. 102-108
Persistent link: https://www.econbiz.de/10009717869
Saved in:
10
The information content of risk-neutral skewness for volatility forecasting
Byun, Suk Joon
;
Kim, Jun Sik
- In:
Journal of empirical finance
23
(
2013
),
pp. 142-161
Persistent link: https://www.econbiz.de/10010221765
Saved in:
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