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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of forecasting"
~subject:"Multivariate distribution"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Multivariate distribution
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56
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Theorie
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Applied economics letters
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of forecasting
Insurance / Mathematics & economics
85
Journal of banking & finance
51
Finance research letters
40
Risks : open access journal
34
Economic modelling
31
Energy economics
29
International review of financial analysis
29
Discussion paper / Tinbergen Institute
27
International journal of forecasting
27
Journal of risk
26
The North American journal of economics and finance : a journal of financial economics studies
23
Applied economics
22
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SFB 649 discussion paper
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Journal of financial econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
The European journal of finance
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Research in international business and finance
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Journal of international financial markets, institutions & money
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Scandinavian actuarial journal
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Swiss Finance Institute Research Paper
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Astin bulletin : the journal of the International Actuarial Association
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International journal of theoretical and applied finance
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Journal of risk management in financial institutions
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1
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
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2
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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3
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
Saved in:
4
Modeling international financial returns with a multivariate regime-switching copula
Chollete, Lorán
;
Heinen, Andréas
;
Valdesogo, Alfonso
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
4
,
pp. 437-480
Persistent link: https://www.econbiz.de/10003907528
Saved in:
5
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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6
Extreme value analysis of electricity demand in the UK
Chan, Stephen
;
Nadarajah, Saralees
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714
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7
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
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8
Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard
;
Lu, Zu-di
;
Huang, Hai
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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9
Too non-traditional to fail? : determinants of systemic risk for BRICs banks
Qin, Xiao
;
Zhu, Xi
- In:
Applied economics letters
21
(
2014
)
4/6
,
pp. 261-264
Persistent link: https://www.econbiz.de/10010413856
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10
Bank insolvency risk and Z-score measures with unimodal returns
Strobel, Frank
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1683-1685
Persistent link: https://www.econbiz.de/10009383375
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