Narrow search
Showing 1 - 10 of 53
Cover Image
Flexible multivariate Hill estimators
Dominicy, Yves; Heikkilä, Matias; Ilmonen, Pauliina; … - In: Journal of econometrics 217 (2020) 2, pp. 398-410
Persistent link: https://www.econbiz.de/10012482779
Cover Image
Back-testing extreme value and Lévy value-at-risk models : evidence from international futures markets
Mozumder, Sharif; Dempsey, Michael; Kabir, M. Humayun - In: Journal of risk finance : the convergence of financial … 18 (2017) 1, pp. 88-118
Persistent link: https://www.econbiz.de/10011653721
Cover Image
Extreme risk in resource indices and the generalized logistic distribution
Huang, Chun-Kai; Pather, Venelle; Hammujuddy, Jahvaid; … - In: The journal of applied business research 33 (2017) 2, pp. 283-296
Persistent link: https://www.econbiz.de/10011673879
Cover Image
Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim; Abdelli, Jihane - In: Insurance / Mathematics & economics 70 (2016), pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
Cover Image
Do coherent risk measures identify assets risk profiles similarly? : evidence from international futures markets
Mozumder, Sharif; Kabir, M. Humayun; Dempsey, Michael - In: Investment management and financial innovations 14 (2017) 3, pp. 361-380
Persistent link: https://www.econbiz.de/10011875432
Cover Image
Extremes of extremes : risk assessment for very small samples with an exemplary application for cryptocurrency returns
Börner, Christoph J.; Hoffmann, Ingo; Krettek, Jonas; … - In: Journal of risk : JOR 26 (2023) 1, pp. 77-97
Persistent link: https://www.econbiz.de/10014487287
Cover Image
Measuring tail risks
Chen, Kan; Cheng, Tuoyuan - In: The Journal of finance and data science : JFDS 8 (2022), pp. 296-308
events (MPMR) that can occur over a length of time. MPMR underscores the dependence of the tail risk on the risk management …
Persistent link: https://www.econbiz.de/10014433723
Cover Image
Robust estimation of conditional variance of time series using density power divergences
Park, Jin‐Hong; Sriram, T. N. - In: Journal of forecasting 36 (2017) 6, pp. 703-717
Persistent link: https://www.econbiz.de/10011861411
Cover Image
Modelling and forecasting volatility of the Botswana and Namibia stock market returns : evidence using GARCH models with different distribution densities
Coffie, William - In: Global business & economics review 20 (2018) 1, pp. 18-35
Persistent link: https://www.econbiz.de/10011953628
Cover Image
On the predictive ability of conditional market skewness
Serna, Gregorio - In: The quarterly review of economics and finance : journal … 91 (2023), pp. 186-191
Persistent link: https://www.econbiz.de/10014461560