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~subject:"Ausreißer"
~type_genre:"Book section"
~type_genre:"Forschungsbericht"
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Business and finance : performance and management
1
Computational methods in financial engineering : essays in honour of Manfred Gilli
1
Credit risk : measurement, evaluation and management ; [on March 13th - 15th 2002, the 8th Econometric Workshop in Karlsruhe was held at the University of Karlsruhe (TH), Germany] ; with 85 figures
1
Financial econometrics and empirical market microstructure
1
Finanzierung, Investition und Entscheidung : einzelwirtschaftliche Analysen zur Bank- und Finanzwirtschaft ; Prof. Dr. Michael Bitz zum 65. Geburtstag gewidmet ; [Festschrift für Michael Bitz]
1
Global stock exchanges : stability, interrelationships, and roles
1
Handbook of financial time series
1
Handbook of research on emerging theories, models, and applications of financial econometrics
1
International financial markets
1
Mathematical control theory and finance
1
New business and finance research developments
1
Operations research proceedings 2002 : selected papers of the International Conference on Operations Research (SOR 2002) ; Klagenfurt, September 2 - 5, 2002 ; with 51 tables
1
Recent econometric techniques for macroeconomic and financial data
1
Risk management, strategic thinking and leadership in the financial services industry : a proactive approach to strategic thinking
1
Risk manangement post financial crisis : a period of monetary easing
1
Robustness in econometrics
1
Three essays on capital and liquidity
1
Working paper / Laboratory of Actuarial Mathematics, University of Copenhagen
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ECONIS (ZBW)
18
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1
Predicting the tail behavior of financial times stock exchange/Johannesburg Stock Exchange (FTSE/JSE) closing banking indices : extreme value theory approach
Makatjane, Katleho
;
Moroke, Ntebogang Dinah
;
Munapo, Elias
- In:
Handbook of research on emerging theories, models, and …
,
(pp. 31-64)
.
2021
capital using Glue-
value-at-risk
(VaR) is more conservative than using other risk measures under the GEV distribution. …
Persistent link: https://www.econbiz.de/10012604174
Saved in:
2
Pareto models for risk management
Charpentier, Arthur
;
Flachaire, Emmanuel
- In:
Recent econometric techniques for macroeconomic and …
,
(pp. 355-387)
.
2021
downside risk measures (
value-at-risk
, expected shortfall) or reinsurance premiums and related quantities (large claim index …
Persistent link: https://www.econbiz.de/10012395554
Saved in:
3
Dependence between extreme risk factor movements of euro area sovereign bonds
Kahlert, Dennis
- In:
Three essays on capital and liquidity
,
(pp. 108-141)
.
2018
Persistent link: https://www.econbiz.de/10012116903
Saved in:
4
Extreme value theory in finance : a way to forecast unexpected circumstances
Aslanertik, B. Esra
;
Erdem, Sabri
;
Gumus, Guluzar Kurt
- In:
Risk management, strategic thinking and leadership in …
,
(pp. 177-190)
.
2017
Persistent link: https://www.econbiz.de/10011597375
Saved in:
5
The impact of extreme events on portfolio in financial risk management
Chuangchid, K.
;
Kittawit Autchariyapanitkul
;
Songsak …
- In:
Robustness in econometrics
,
(pp. 679-690)
.
2017
Persistent link: https://www.econbiz.de/10011802012
Saved in:
6
Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill
;
Andrianov, Dmitry
;
Ivliev, Sergey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 37-45)
.
2015
Persistent link: https://www.econbiz.de/10011326724
Saved in:
7
Challenges in the application of extreme value theory in emerging markets : a case study of Pakistan
Uppal, Jamshed Y.
;
Mudakkar, Syeda Rabab
- In:
Risk manangement post financial crisis : a period of …
,
(pp. 417-437)
.
2014
Persistent link: https://www.econbiz.de/10010430620
Saved in:
8
Heavy-tailed distribution of commodity prices and the effectiveness of VaR models
Kittiakarasakun, Jullavut
- In:
International financial markets
,
(pp. 125-137)
.
2013
Persistent link: https://www.econbiz.de/10010204758
Saved in:
9
Extreme value theory for space-time processes with heavy-tailed distributions
Davis, Richard A.
;
Mikosch, Thomas
-
2006
Persistent link: https://www.econbiz.de/10003370444
Saved in:
10
Estimation of
value
at
risk
for heteroscedastic and and heavy-tailed asset time series : evidence from emerging Asian stock markets
Kao, Tzu-Chuan
;
Lin, Chu-Hsiung
- In:
Business and finance : performance and management
,
(pp. 1-15)
.
2011
Persistent link: https://www.econbiz.de/10009304201
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