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~isPartOf:"Journal of forecasting"
~isPartOf:"The journal of risk model validation"
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~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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53
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Applied economics letters
Journal of forecasting
The journal of risk model validation
Insurance / Mathematics & economics
148
Journal of banking & finance
57
Risks : open access journal
51
European journal of operational research : EJOR
43
Finance research letters
43
Journal of risk
41
Discussion paper / Tinbergen Institute
28
International review of financial analysis
28
Quantitative finance
28
The journal of operational risk
27
International journal of forecasting
26
Economic modelling
25
Applied economics
21
Journal of econometrics
21
International journal of theoretical and applied finance
20
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19
Mathematics of operations research
19
Finance and stochastics
18
The North American journal of economics and finance : a journal of financial economics studies
18
Energy economics
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International review of economics & finance : IREF
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Journal of empirical finance
17
Mathematics and financial economics
17
Scandinavian actuarial journal
17
Journal of risk and financial management : JRFM
16
SFB 649 discussion paper
16
Computational economics
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Pacific-Basin finance journal
14
Research paper series / Swiss Finance Institute
14
Astin bulletin : the journal of the International Actuarial Association
13
Journal of international financial markets, institutions & money
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The European journal of finance
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Journal of risk management in financial institutions
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Research in international business and finance
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1
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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2
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
3
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
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4
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
Saved in:
5
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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6
Measuring downside risk and severity for global output
Wang, Yan
;
Yao, James Yudong
- In:
Journal of forecasting
26
(
2007
)
1
,
pp. 23-32
Persistent link: https://www.econbiz.de/10003406089
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7
Value-at-risk forecasts : a comparison analysis of extreme-value versus classical approaches
Ünal, Gözde
- In:
The journal of risk model validation
5
(
2011
)
3
,
pp. 59-76
Persistent link: https://www.econbiz.de/10009356742
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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