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~person:"Bormann, Carsten"
~person:"Fusai, Gianluca"
~subject:"Multivariate Verteilung"
~subject:"Risk measure"
~subject:"multivariate extreme values"
~type_genre:"Aufsatz in Zeitschrift"
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Multivariate Verteilung
Risk measure
multivariate extreme values
Multivariate Analyse
2
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CAPM
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EM algorithm
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Estimation theory
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Intra-horizon Value at Risk
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Maximum Likelihood
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Multivariate Lévy models
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decomposition of multivariate tail dependence
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Bormann, Carsten
Fusai, Gianluca
Frees, Edward W.
3
Furman, Edward
3
Hofert, Marius
3
Mailhot, Mélina
3
Min, Aleksey
3
Noh, Hohsuk
3
Righi, Marcelo Brutti
3
Su, Jianxi
3
Anatolyev, Stanislav
2
Asimit, Alexandru V.
2
Bianchi, Michele Leonardo
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Candido, Osvaldo
2
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2
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Di Bernardino, Elena
2
Fabozzi, Frank J.
2
Grothe, Oliver
2
Jang, Hyuna
2
Kim, Jong-Min
2
Kächele, Fabian
2
Landsman, Zinoviy
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Lucas, André
2
Müller, Fernanda Maria
2
Račev, Svetlozar T.
2
Shi, Peng
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Shushi, Tomer
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Smith, Michael S.
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Tarantola, Claudia
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Tassinari, Gian Luca
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Weiß, Gregor
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Woo, Jae-Kyung
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Yang, Jingping
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1
Alai, Daniel H.
1
Almulhim, Tarifa
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Anjos, Ulisses dos
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Araichi, Sawssen
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Journal of financial and quantitative analysis : JFQA
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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Estimation of multivariate asset models with jumps
Ballotta, Laura
;
Fusai, Gianluca
;
Loregian, Angela
; …
- In:
Journal of financial and quantitative analysis : JFQA
54
(
2019
)
5
,
pp. 2053-2083
Persistent link: https://www.econbiz.de/10012140059
Saved in:
2
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
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