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Estimation of extreme value-at-risk : an EVT approach for quantile GARCH model
Yi, Yanping; Feng, Xingdong; Huang, Zhuo - In: Economics letters 124 (2014) 3, pp. 378-381
Persistent link: https://www.econbiz.de/10010495168
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Capturing information in extreme events
Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014461218
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An application of extreme value theory to cryptocurrencies
Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi - In: Economics letters 164 (2018), pp. 109-11
Persistent link: https://www.econbiz.de/10011939961
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Tail relation between return and volume in the US stock market : an analysis based on extreme value theory
Longin, François M.; Pagliardi, Giovanni - In: Economics letters 145 (2016), pp. 252-254
Persistent link: https://www.econbiz.de/10011618837
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The simple econometrics of tail dependence
Oordt, Maarten R. C. van; Chen Zhou - In: Economics letters 116 (2012) 3, pp. 371-373
Persistent link: https://www.econbiz.de/10009674350
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Asymmetric extreme tails and prospective utility of momentum returns
Gregory-Allen, Russell B.; Lu, Helen; Stork, Philip - In: Economics letters 117 (2012) 1, pp. 295-297
Persistent link: https://www.econbiz.de/10009697756
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A simple theory of Pareto-distributed earnings
Harmenberg, Karl - In: Economics letters 234 (2024), pp. 1-3
Persistent link: https://www.econbiz.de/10015075876
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Tail dependence between bitcoin and green financial assets
Naeem, Muhammad Abubakr; Sitara Karim - In: Economics letters 208 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013207093
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Momentum and crash sensitivity
Ruenzi, Stefan; Weigert, Florian - In: Economics letters 165 (2018), pp. 77-81
Persistent link: https://www.econbiz.de/10011973844
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Heavy tails and copulas : limits of diversification revisited
Ibragimov, Rustam Ju.; Prokhorov, Artem - In: Economics letters 149 (2016), pp. 102-107
Persistent link: https://www.econbiz.de/10011620157