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~person:"Bormann, Carsten"
~person:"Račev, Svetlozar T."
~subject:"Risikomanagement"
~subject:"Statistical distribution"
~subject:"Volatilität"
~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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15
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9
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9
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Bormann, Carsten
Račev, Svetlozar T.
Wang, Ruodu
20
Hammoudeh, Shawkat
16
Embrechts, Paul
12
Mensi, Walid
12
Mao, Tiantian
10
McAleer, Michael
10
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10
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9
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9
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9
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8
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8
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8
Gupta, Rangan
8
Ji, Qiang
8
Kang, Sang Hoon
8
Al-Yahyaee, Khamis Hamed
7
Bee, Marco
7
Cheung, Ka Chun
7
Chinhamu, Knowledge
7
Hoga, Yannick
7
Janabi, Mazin A. M. al
7
Karmakar, Madhusudan
7
Landsman, Zinoviy
7
Li, Jianping
7
Mora-Valencia, Andrés
7
Perote, Javier
7
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7
Rüschendorf, Ludger
7
Stoja, Evarist
7
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7
Bali, Turan G.
6
Degiannakis, Stavros
6
Herrera, Rodrigo
6
Hofert, Marius
6
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Annals of operations research
1
International journal of Islamic and Middle Eastern finance and management
1
International journal of theoretical and applied finance
1
Journal of banking & finance
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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
Saved in:
5
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
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6
Computational aspects of portfolio risk estimation in volatile markets : a survey
Fabozzi, Frank J.
;
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
1
,
pp. 103-120
Persistent link: https://www.econbiz.de/10009728412
Saved in:
7
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
Saved in:
8
Fat-tailed models for risk estimation
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
; …
- In:
The journal of portfolio management : a publication of …
37
(
2010/11
)
2
,
pp. 107-117
Persistent link: https://www.econbiz.de/10009273905
Saved in:
9
Detecting structural differences in tail dependence of financial time series
Bormann, Carsten
;
Schienle, Melanie
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 380-392
Persistent link: https://www.econbiz.de/10012262482
Saved in:
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