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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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How do risk attitudes of clearing firms matter for managing default exposure in futures markets?
Cheng, Jie; Hong, Yi; Tao, Juan - In: The European journal of finance 22 (2016) 10/12, pp. 909-940
Persistent link: https://www.econbiz.de/10011715223
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Relative bound and asymptotic comparison of expectile with respect to expected shortfall
Tadese, Mekonnen; Drapeau, Samuel - In: Insurance / Mathematics & economics 93 (2020), pp. 387-399
Persistent link: https://www.econbiz.de/10012294144
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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
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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
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A note on the invariance of the distribution of the maximum
Fosgerau, Mogens; Lindberg, Per O.; Mattsson, Lars-Göran; … - In: Journal of mathematical economics 74 (2018), pp. 56-61
Persistent link: https://www.econbiz.de/10012103935
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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
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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
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A confidence corridor for sparse longitudinal data curves
Zheng, Shuzhuan; Yang, Lijian; Härdle, Wolfgang Karl - 2010
Longitudinal data analysis is a central piece of statistics. The data are curves and they are observed at random locations. This makes the construction of a simultaneous confidence corridor (SCC) (confidence band) for the mean function a challenging task on both the theoretical and the practical...
Persistent link: https://www.econbiz.de/10010281570
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Dynamics of unemployment insurance claims : an application of ARIMA-GARCH models
Mohammadi, Hassan; Rich, Daniel P. - In: Atlantic economic journal : AEJ 41 (2013) 4, pp. 413-425
Persistent link: https://www.econbiz.de/10010243108