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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~isPartOf:"The journal of operational risk"
~subject:"Capital income"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Applied economics letters
Journal of forecasting
The journal of operational risk
Insurance / Mathematics & economics
81
Journal of banking & finance
55
Finance research letters
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International review of financial analysis
40
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The North American journal of economics and finance : a journal of financial economics studies
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International journal of forecasting
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1
Bayesian operational risk models
Figini, Silvia
;
Gao, Lijun
;
Giudici, Paolo
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 45-60
Persistent link: https://www.econbiz.de/10011298859
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2
Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables
Hannah, Lincoln
;
Puza, Borek
- In:
The journal of operational risk
10
(
2015
)
2
,
pp. 1-21
Persistent link: https://www.econbiz.de/10011298869
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3
Worldwide equity risk prediction
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
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4
Modeling multivariate operational losses via copula-based distributions with g-and-h marginals
Bee, Marco
;
Hambuckers, Julien
- In:
The journal of operational risk
17
(
2022
)
1
,
pp. 81-111
Persistent link: https://www.econbiz.de/10014546257
Saved in:
5
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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6
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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7
A modified Panjer algorithm for operational risk capital calculations
Guégan, Dominique
;
Hassani, Bertrand K.
- In:
The journal of operational risk
4
(
2009/10
)
4
,
pp. 53-72
Persistent link: https://www.econbiz.de/10003930046
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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
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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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