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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~isPartOf:"Scandinavian actuarial journal"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
~subject:"expected shortfall"
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TWO-COMPONENT EXTREME VALUE DI...
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Statistical distribution
Systemrisiko
expected shortfall
Risikomaß
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Applied economics letters
Journal of forecasting
Scandinavian actuarial journal
Insurance / Mathematics & economics
78
Journal of banking & finance
45
Finance research letters
36
Risks : open access journal
33
Discussion paper / Tinbergen Institute
29
International journal of forecasting
25
Economic modelling
24
International review of financial analysis
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Journal of risk
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Applied economics
20
Journal of econometrics
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Journal of risk and financial management : JRFM
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The journal of operational risk
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SFB 649 discussion paper
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Energy economics
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Journal of financial econometrics
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The North American journal of economics and finance : a journal of financial economics studies
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The journal of risk model validation
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Journal of empirical finance
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Quantitative finance
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International review of economics & finance : IREF
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Pacific-Basin finance journal
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International journal of theoretical and applied finance
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Research in international business and finance
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Working papers
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Computational economics
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Journal of financial stability
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Journal of international financial markets, institutions & money
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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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1
Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.
;
Cummins, Mark
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
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2
Conditional risk measures in a bipartite market structure
Kley, Oliver
;
Klüppelberg, Claudia
;
Reinert, Gesine
- In:
Scandinavian actuarial journal
(
2018
)
4
,
pp. 328-355
Persistent link: https://www.econbiz.de/10011881106
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3
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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4
On additivity of tail comonotonic risks
Cheung, Ka Chun
;
Ling, Hok Kan
;
Tang, Qihe
;
Yam, Sheung …
- In:
Scandinavian actuarial journal
2019
(
2019
)
10
,
pp. 837-866
Persistent link: https://www.econbiz.de/10012195005
Saved in:
5
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
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6
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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7
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:
8
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
Saved in:
9
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
Saved in:
10
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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