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Tail risk in pension funds : an analysis using ARCH models and bilinear processes
Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331
Persistent link: https://www.econbiz.de/10010490407
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Dual sourcing under heavy-tailed demand : an extreme value theory approach
Biçer, Işık - In: International journal of production research 53 (2015) 16, pp. 4979-4992
Persistent link: https://www.econbiz.de/10011344448
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009767006
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A semi-parametric approach to estimating the operational risk and Expected Shortfall
Tursunalieva, Ainura; Silvapulle, Paramsothy - In: Applied economics 46 (2014) 28/30, pp. 3659-3672
Persistent link: https://www.econbiz.de/10010419979
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Asymptotic results on marginal expected shortfalls for dependent risks
Li, Jinzhu - In: Insurance / Mathematics & economics 102 (2022), pp. 146-168
Persistent link: https://www.econbiz.de/10013271968
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Extreme value statistics using related variables
Ahmed, Hanan - 2022
Persistent link: https://www.econbiz.de/10013263346
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Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu; Caporin, Massimiliano; McAleer, Michael - In: International review of economics & finance : IREF 40 (2015), pp. 40-50
Persistent link: https://www.econbiz.de/10011571858
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Estimation of high conditional tail risk based on expectile regression
Hu, Jie; Chen, Yu; Tan, Keqi - In: ASTIN bulletin : the journal of the International … 51 (2021) 2, pp. 539-570
Persistent link: https://www.econbiz.de/10012523255
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Risk management of Bitcoin futures with GARCH models
Guo, Zi-Yi - In: Finance research letters 45 (2022), pp. 1-6
Persistent link: https://www.econbiz.de/10014581643
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Predicting the unpredictable : value-at-risk, performativity, and the politics of financial uncertainty
Lockwood, Erin - In: Review of international political economy : RIPE 22 (2015) 4, pp. 719-756
Persistent link: https://www.econbiz.de/10011372868