Narrow search
Showing 1 - 10 of 16
Cover Image
Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data
Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877
Persistent link: https://www.econbiz.de/10003776390
Cover Image
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Cover Image
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Cover Image
Outliers, GARCH-type models and risk measures : a comparison of several approaches
Grané, Aurea; Almeida, Helena Tenório Veiga de - In: Journal of empirical finance 26 (2014), pp. 26-40
Persistent link: https://www.econbiz.de/10010472010
Cover Image
Value at risk forecasts by extreme value models in a conditional duration framework
Herrera, Rodrigo; Schipp, Bernhard - In: Journal of empirical finance 23 (2013), pp. 33-47
Persistent link: https://www.econbiz.de/10010221789
Cover Image
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Cover Image
New evidence on asymmetric return-volume dependence and extreme movements
Wang, Yi-Chiuan; Wu, Jyh-lin; Lai, Yi-Hao - In: Journal of empirical finance 45 (2018), pp. 212-227
Persistent link: https://www.econbiz.de/10012102448
Cover Image
On the robustness of the principal volatility components
Trucíos, Carlos; Hotta, Luiz K.; Pereira, Pedro L. Valls - In: Journal of empirical finance 52 (2019), pp. 201-219
Persistent link: https://www.econbiz.de/10012171112
Cover Image
Combining a self-exciting point process with the truncated generalized Pareto distribution : an extreme risk analysis under price limits
Ji, Jingru; Wang, Donghua; Xu, Dinghai; Xu, Chi - In: Journal of empirical finance 57 (2020), pp. 52-70
Persistent link: https://www.econbiz.de/10012430436
Cover Image
Conditional extreme risk, black swan hedging, and asset prices
Rhee, S. Ghon; Wu, Feng - In: Journal of empirical finance 58 (2020), pp. 412-435
Persistent link: https://www.econbiz.de/10012430713