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~person:"Bormann, Carsten"
~person:"Karmakar, Madhusudan"
~person:"Račev, Svetlozar T."
~subject:"Risikomanagement"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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TWO-COMPONENT EXTREME VALUE DI...
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Risikomanagement
Statistical distribution
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25
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25
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11
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10
ARCH-Modell
10
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Bormann, Carsten
Karmakar, Madhusudan
Račev, Svetlozar T.
Wang, Ruodu
20
Embrechts, Paul
12
Mao, Tiantian
10
Hammoudeh, Shawkat
9
Cai, Jun
8
Furman, Edward
8
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7
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7
Härdle, Wolfgang
7
Janabi, Mazin A. M. al
7
Landsman, Zinoviy
7
Li, Jianping
7
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7
Rüschendorf, Ludger
7
Stoja, Evarist
7
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6
Hofert, Marius
6
Hoga, Yannick
6
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6
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6
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Bali, Turan G.
5
Bernard, Carole
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Bernardi, Mauro
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5
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Review of financial economics : RFE
2
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1
International journal of Islamic and Middle Eastern finance and management
1
International journal of forecasting
1
International journal of theoretical and applied finance
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
14
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1
Managing extreme risk in some major stock markets : an extreme value approach
Karmakar, Madhusudan
;
Shukla, Girja K.
- In:
International review of economics & finance : IREF
35
(
2015
),
pp. 1-25
Persistent link: https://www.econbiz.de/10011333727
Saved in:
2
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
3
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
4
Intraday risk management in International stock markets : a conditional EVT approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International review of financial analysis
44
(
2016
),
pp. 34-55
Persistent link: https://www.econbiz.de/10011623805
Saved in:
5
Tempered stable models for Islamic finance asset management
Bekri, Mahmoud
;
Kim, Young Shin
;
Račev, Svetlozar T.
- In:
International journal of Islamic and Middle Eastern …
7
(
2014
)
1
,
pp. 37-60
Persistent link: https://www.econbiz.de/10011335135
Saved in:
6
Dependence structure and portfolio risk in Indian foreign exchange market : a GARCH-EVT-Copula approach
Karmakar, Madhusudan
- In:
The quarterly review of economics and finance : journal …
64
(
2017
),
pp. 275-291
Persistent link: https://www.econbiz.de/10011792337
Saved in:
7
Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.
;
Racheva-Iotova, Borjana
;
Račev, …
-
2010
Persistent link: https://www.econbiz.de/10003964894
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8
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
9
Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
22
(
2013
)
3
,
pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
Saved in:
10
Risk management and dynamic portfolio selection with stable paretian distributions
Ortobelli, Sergio
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
17
(
2010
)
2
,
pp. 195-211
Persistent link: https://www.econbiz.de/10009271854
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