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~subject:"Portfolio-Management"
~subject:"Statistical distribution"
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TWO-COMPONENT EXTREME VALUE DI...
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Portfolio-Management
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51
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Strobel, Frank
4
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Jiang, Cuixia
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Pérez Amaral, Teodosio
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Applied economics letters
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Insurance / Mathematics & economics
147
Journal of banking & finance
103
Finance research letters
75
Journal of risk
70
European journal of operational research : EJOR
68
Risks : open access journal
65
International review of financial analysis
49
Quantitative finance
46
Discussion paper / Tinbergen Institute
42
The North American journal of economics and finance : a journal of financial economics studies
39
International journal of forecasting
33
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32
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30
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30
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27
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ECONIS (ZBW)
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1
Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef
;
Snoussi, Wafa
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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2
Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand
;
Joëts, Marc
;
Tokpavi, Sessi
- In:
Economic modelling
31
(
2013
),
pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
Saved in:
3
Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
Economic modelling
38
(
2014
),
pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
Saved in:
4
Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre
;
Maurer, Frantz
- In:
Economic modelling
67
(
2017
),
pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
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5
Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad
- In:
Applied economics letters
25
(
2018
)
3
,
pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
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6
How does issuing contingent convertible bonds improve bank's solvency? : a Value-at-Risk and Expected Shortfall approach
Jaworski, Piotr
;
Liberadzki, Kamil
;
Liberadzki, Marcin
- In:
Economic modelling
60
(
2017
),
pp. 162-168
Persistent link: https://www.econbiz.de/10011734191
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7
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
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8
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
9
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
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10
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
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