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~person:"Schwaab, Bernd"
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Search: subject:"Extreme value theory"
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Securities Markets Programme (SMP)
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dynamic tail risk
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extreme value theory
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observation-driven models
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Schwaab, Bernd
Einmahl, John H. J.
29
Chen Zhou
24
Herrera, Rodrigo
19
Vries, Casper G. de
19
Zhou, Chen
19
Straetmans, Stefan
16
Aboura, Sofiane
13
Cotter, John
13
Daouia, Abdelaati
13
Watanabe, Hiroki
13
Trabelsi, Abdelwahed
12
Berliant, Marcus
11
Pontines, Victor
11
Stupfler, Gilles
11
Ghorbel, Ahmed
10
Lucas, André
10
Stoja, Evarist
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Daníelsson, Jón
9
Zhang, Zhengjun
9
Haan, Laurens de
8
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8
Pais, Amelia
8
Schaumburg, Julia
8
Stork, Philip
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Uppal, Jamshed Y.
8
Zhang, Xin
8
Acemoglu, Daron
7
Allen, David E.
7
Byström, Hans
7
Chernozhukov, Victor
7
Fabozzi, Frank J.
7
Mapa, Dennis S.
7
Martins-Filho, Carlos
7
Qin, Xiao
7
Stoyanov, Stoyan V.
7
Tahbaz-Salehi, Alireza
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Tolikas, Konstantinos
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ECONIS (ZBW)
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Modeling extreme events : time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012429187
Saved in:
2
Modeling extreme events : timevarying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012315434
Saved in:
3
Modeling extreme events: Time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012515445
Saved in:
4
Modeling Extreme Events : Time-Varying Extreme Tail Shape
Schwaab, Bernd
;
Lucas, Andre
;
Zhang, Xin
-
2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10013243812
Saved in:
5
Modeling Extreme Events : Time-Varying Extreme Tail Shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, Andre
-
2021
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10013252235
Saved in:
6
Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012427176
Saved in:
7
Modeling extreme events: Time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012497751
Saved in:
8
Modeling extreme events: time-varying extreme tail shape
Schwaab, Bernd
;
Zhang, Xin
;
Lucas, André
-
2020
Generalized Pareto Distribution (GPD) for modeling peaks over thresholds as in
Extreme
Value
Theory
, but casts the model in a …
Persistent link: https://www.econbiz.de/10012385032
Saved in:
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