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Ausreißer
6
Outliers
6
Risikomaß
5
Risk measure
5
Theorie
5
Theory
5
Aktienindex
4
Extreme Value Theory
4
Risiko
4
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4
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4
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2
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1
Asymptotic Analysis
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Derivat
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Esscher Transform
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Extreme Value Theory (EVT)
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Finanzanalyse
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Abdessalem, Mehdi Bekralas
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Kato, Takashi
1
Manhire, J. T.
1
Mwita, Peter N.
1
Ohnishi, Masamitsu
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Omari, Cyprian Ondieki
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Sapp, Travis R. A.
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Waititu, Antony G.
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Journal of mathematical finance
Insurance / Mathematics & economics
33
MPRA Paper
30
Discussion paper / Center for Economic Research, Tilburg University
22
Journal of banking & finance
18
Applied economics
16
Economic modelling
16
Discussion paper / Tinbergen Institute
15
Journal of econometrics
15
Risks : open access journal
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
International review of financial analysis
12
Physica A: Statistical Mechanics and its Applications
12
Working papers / TSE : WP
12
Finance research letters
11
Journal of empirical finance
11
The journal of operational risk
11
Tinbergen Institute Discussion Papers
11
Economics letters
10
Journal of Banking & Finance
9
Journal of risk
9
DNB Working Papers
8
DNB working paper
8
Energy economics
8
International journal of forecasting
8
International review of economics & finance : IREF
8
Journal of international financial markets, institutions & money
8
The North American journal of economics and finance : a journal of financial economics studies
8
The journal of risk model validation
8
ECB Working Paper
7
Journal of international money and finance
7
SFB 649 discussion paper
7
Tinbergen Institute Discussion Paper
7
Annals of the Institute of Statistical Mathematics
6
European journal of operational research : EJOR
6
Risks
6
Working paper / National Bureau of Economic Research, Inc.
6
Applied economics letters
5
Astin bulletin : the journal of the International Actuarial Association
5
CESifo working papers
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Crisis, value at risk and conditional
extreme
value
theory
via the NIG + Jump model
Ze-To, Samuel Yau Man
- In:
Journal of mathematical finance
2
(
2012
)
3
,
pp. 225-237
Persistent link: https://www.econbiz.de/10009711983
Saved in:
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