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On Zipf's law and the bias of Zipf regressions
Schluter, Christian - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 529-548
Persistent link: https://www.econbiz.de/10012616865
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Erfahrungen bei der praktischen Anwendung der Extremwertanalyse
Berge, Klaus; Fröhlich, Stefan; Locarek-Junge, Hermann - In: Risikomanagement aus Bankenperspektive : Grundlagen, …, (pp. 181-198). 2006
Persistent link: https://www.econbiz.de/10003372421
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - In: Journal of international money and finance 25 (2006) 7, pp. 1187-1205
Persistent link: https://www.econbiz.de/10003394359
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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An extreme analysis of VaRs for emerging market benchmark bonds
Kiesel, Rüdiger; Perraudin, William R. M.; Taylor, Alex - In: Credit risk : measurement, evaluation and management ; …, (pp. 111-137). 2003
Persistent link: https://www.econbiz.de/10002001481
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - 2003
Persistent link: https://www.econbiz.de/10001882761
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Zipf law and the firm size distribution : a critical discussion of popular estimators
Bottazzi, Giulio; Pirino, Davide; Tamagni, Federico - In: Journal of evolutionary economics : JEE 25 (2015) 3, pp. 585-610
Persistent link: https://www.econbiz.de/10011374103
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One-stage structural models to explain city size
Cameron, Trudy Ann - In: Journal of urban economics 27 (1990) 3, pp. 294-307
Persistent link: https://www.econbiz.de/10001165596
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Produktivitätseffekte der öffentlichen Infrastruktur : Meßkonzepte und empirische Befunde für Hamburg
Hofmann, Ulrich - 1996
Persistent link: https://www.econbiz.de/10000937068
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Value-at-risk and extreme returns
Daníelsson, Jón; Vries, Casper G. de - 1997
Accurate prediction of the frequency of extreme events is of primary importance in many financialapplications such as Value-at-Risk (VaR) analysis. We propose a semi-parametric method for VaRevaluation. The largest risks are modelled parametrically, while smaller risks are captured by the...
Persistent link: https://www.econbiz.de/10010533206