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Tail dependence of major US stocks
Kang, Long; Babbs, Simon H. - In: Risk management and corporate governance, (pp. 131-165). 2012
Persistent link: https://www.econbiz.de/10009505349
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Modern econometric analysis : theory and applications
Okimoto, Tatsuyoshi - 2005
Persistent link: https://www.econbiz.de/10003905688
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Extremal behavior of finite EGARCH processes
Lindner, Alexander M. (contributor);  … - 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the … GARCH ; extreme value theory ; tail behavior ; Gumbel distribution ; conditional variance ; Gaussian tail ; stochastic …
Persistent link: https://www.econbiz.de/10002719797
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Differences in earnings and wage distributions between Canada and the United States : an application of a semi-parametric estimator of distribution functions with covariates
Donald, Stephen G.; Green, David A.; Paarsch, Harry J. - 1995
Persistent link: https://www.econbiz.de/10000561583
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Differences in wage distributions between Canada and the United States : an application of a flexible estimator of distribution functions in the presence of covariates
Donald, Stephen G.; Green, David A.; Paarsch, Harry J. - In: The review of economic studies 67 (2000) 4, pp. 609-633
Persistent link: https://www.econbiz.de/10001538531
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Differences in earnings and wage distributions between Canada and the United States : an application of a semi-parametric estimator of distribution functions with covariates
Donald, Stephen G.; Green, David A.; Paarsch, Harry J. - 1995
Persistent link: https://www.econbiz.de/10000922765
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Extracting risk-neutral density and its moments from American option prices
Tian, Yisong Sam - In: The journal of derivatives : the official publication … 18 (2011) 3, pp. 17-34
Persistent link: https://www.econbiz.de/10008986624
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Oil tail risk and the tail risk of the US Dollar exchange rates
Salisu, Afees A.; Olaniran, Abeeb; Tchankam, Jean Paul - In: Energy economics 109 (2022), pp. 1-13
Persistent link: https://www.econbiz.de/10013283764
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Modelling dependence of extreme events in energy markets using tail copulas
Jäschke, Stefan; Siburg, Karl Friedrich; Stoimenov, … - 2011
Persistent link: https://www.econbiz.de/10008841122
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Tail dependence in international real estate securities markets
Zhou, Jian; Gao, Yanmin - In: The journal of real estate finance and economics 45 (2012) 1, pp. 128-151
Persistent link: https://www.econbiz.de/10009581759