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Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1998

Persistent link: https://www.econbiz.de/10000980737

Short patches of outliers, ARCH and volatility modelling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

Persistent link: https://www.econbiz.de/10000986130

Learning from history : volatility and financial crises

Daníelsson, Jón; Valenzuela, Marcela; Zer, Ilknur - 2018 - This version: January 2018

Persistent link: https://www.econbiz.de/10012204110

Productivity gains from offshoring : an empirical analysis for the Netherlands

Butter, Frank A. G. den; Pattipeilohy, Christiaan - 2007 - This version: 19 November 2007

, using a recent theory on trade in tasks. A production function is estimated for the Netherlands for the period 1972-2001. It …

Persistent link: https://www.econbiz.de/10011373831

Trade, trust and transaction cost

Butter, Frank A. G. den; Mosch, Robert - 2003

Transaction costs are a major reason why international trade flows are much smaller than traditional trade theory would …

Persistent link: https://www.econbiz.de/10011334351

Value-at-risk and extreme returns

Daníelsson, Jón; Vries, Casper G. de - 1997

Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...

Persistent link: https://www.econbiz.de/10010533206