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~isPartOf:"Journal of forecasting"
~subject:"Statistical distribution"
~subject:"Systemic risk"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Statistical distribution
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Risikomaß
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3
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Applied economics letters
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Insurance / Mathematics & economics
78
Journal of banking & finance
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Finance research letters
36
Risks : open access journal
30
Discussion paper / Tinbergen Institute
26
Economic modelling
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International journal of forecasting
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International review of financial analysis
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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1
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:
2
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:
3
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:
4
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:
5
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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6
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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7
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
Saved in:
8
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
Saved in:
9
Bank insolvency risk and different approaches to aggregate Z-score measures : a note
Strobel, Frank
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1541-1543
Persistent link: https://www.econbiz.de/10009383445
Saved in:
10
Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
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