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~subject:"Risk measure"
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POT
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ECONIS (ZBW)
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1
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-
POT
model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
2
An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution
Song, Shijia
;
Tian, Fei
;
Li, Handong
- In:
Journal of Asian economics
74
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10012803294
Saved in:
3
Modelling extreme risks in commodities and commodity currencies
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
-
2016
Persistent link: https://www.econbiz.de/10011777185
Saved in:
4
The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo
;
González, Nicolás
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
Saved in:
5
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:
6
Risk quantification in turmoil markets
Díaz Pérez, Antonio
;
García-Donato, Gonzalo
; …
- In:
Risk management : a journal of risk, crisis and disaster
19
(
2017
)
3
,
pp. 202-224
Persistent link: https://www.econbiz.de/10011800978
Saved in:
7
Estimation of value-at-risk measures in the Islamic stock market : approach based on Extreme Value Theory (EVT)
Frad, Haïfa
;
Zouari, Ezzeddine
- In:
Journal of world economic research
3
(
2014
)
2
,
pp. 15-20
Persistent link: https://www.econbiz.de/10010422255
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