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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Identification of ex ante returns using elicited choice probabilities
Méango, Romuald - 2023
Persistent link: https://www.econbiz.de/10014250393
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Benchmarking collateral of triple-a rated securities
Sarmiento, Camilo - In: Applied economics letters 27 (2020) 7, pp. 555-558
Persistent link: https://www.econbiz.de/10012205727
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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Conditional extremes in asymmetric financial markets
Nolde, Natalia; Zhang, Jinyuan - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 201-213
Persistent link: https://www.econbiz.de/10012179547
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Spatial dependence and space-time trends in extreme event
Einmahl, John H. J.; Ferreira, Ana; Haan, Laurens de; … - 2020
Persistent link: https://www.econbiz.de/10012182625
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On extreme value approximation to tails of distribution functions
Li, Deyuan - 2004
Persistent link: https://www.econbiz.de/10002210996
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On selecting an extreme value distribution
Ariyawansa, K. A. - In: Zeitschrift für Operations-Research : ZOR ; … 32 (1988) 2, pp. 95-100
Persistent link: https://www.econbiz.de/10003473496
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Capturing information in extreme events
Ardakani, Omid M. - In: Economics letters 231 (2023), pp. 1-5
Persistent link: https://www.econbiz.de/10014461218