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A marked point process model for intraday financial returns : modeling extreme risk

Herrera, Rodrigo; Clements, Adam - In: Empirical economics : a journal of the Institute for … 58 (2020) 4, pp. 1575-1601

Persistent link: https://www.econbiz.de/10012219662

Estimation and inference about tail features with tail censored data

Wang, Yulong; Xiao, Zhijie - 2020 - This version: March 2020

Persistent link: https://www.econbiz.de/10012231154

How often is the financial market going to collapse?

Frahm, Gabriel - In: Quantitative finance and economics 2 (2018) 3, pp. 590-614

Persistent link: https://www.econbiz.de/10012156795

Short selling in extreme events

Geraci, Marco Valerio; Garbaravičius, Tomas; Veredas, David - In: Journal of financial stability 39 (2018), pp. 90-103

Persistent link: https://www.econbiz.de/10012159719

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

Oil price risk evaluation using a novel hybrid model based on time-varying long memory

Zhao, Lu-Tao; Liu, Kun; Duan, Xin-Lei; Li, Ming-Fang - In: Energy economics 81 (2019), pp. 70-78

Persistent link: https://www.econbiz.de/10012172659

Modeling maxima with autoregressive conditional Fréchet model

Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351

Persistent link: https://www.econbiz.de/10012116357

Extreme value theory : an application to the Peruvian stock market returns

Rodriguez, Gabriel - In: Revista de métodos cuantitativos para la economía y … 23 (2017), pp. 48-74

Using daily observations of the index and stock market returns for the Peruvian case from January 3, 1990 to May 31, 2013, this paper models the distribution of daily loss probability, estimates maximum quantiles and tail probabilities of this distribution, and models the extremes through a...

Persistent link: https://www.econbiz.de/10011689643

Risk correlation based on time-varying copula function and extreme value theory

Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229

Persistent link: https://www.econbiz.de/10011786009

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