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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - 2013
Persistent link: https://www.econbiz.de/10009793510
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Nonparametric tests for constant tail dependence with an application to energy and finance
Bücher, Axel; Jäschke, Stefan; Wied, Dominik - In: Journal of econometrics 187 (2015) 1, pp. 154-168
Persistent link: https://www.econbiz.de/10011498799
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - Sonderforschungsbereich Statistical Modelling of … - 2018
Persistent link: https://www.econbiz.de/10011921089
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Using the extremal index for value-at-risk backtesting
Bücher, Axel; Posch, Peter N.; Schmidtke, Philipp - In: Journal of financial econometrics 18 (2020) 3, pp. 556-584
Persistent link: https://www.econbiz.de/10012316700