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Mean reversion in US and international short rates
Christiansen, Charlotte - In: The North American journal of economics and finance : a … 21 (2010) 3, pp. 286-296
Persistent link: https://www.econbiz.de/10009267822
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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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Option pricing formulas based on uncertain fractional differential equation
Wang, Weiwei; Ralescu, Dan A. - In: Fuzzy optimization and decision making : a journal of … 20 (2021) 4, pp. 471-495
Persistent link: https://www.econbiz.de/10012651808
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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
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The optimization of Bayesian extreme value : empirical evidence for the agricultural commodities in the US
Jittima Singvejsakul; Chukiat Chaiboonsri; Songsak … - In: Economies : open access journal 9 (2021) 1/30, pp. 1-10
Bayesian extreme value analysis was used to forecast the optimal point in agricultural commodity futures prices in the United States for cocoa, coffee, corn, soybeans and wheat. Data were collected daily between 2000 and 2020. The estimation of extreme value can be empirically interpreted as...
Persistent link: https://www.econbiz.de/10012484315
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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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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