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1
Estimation of extreme depth-based quantile regions
He, Yi
;
Einmahl, John H. J.
-
2014
Persistent link: https://www.econbiz.de/10011282830
Saved in:
2
Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics
Einmahl, John H. J.
;
Li, Jun
;
Liu, Regina Y.
-
2015
Persistent link: https://www.econbiz.de/10011350125
Saved in:
3
Statistics of heteroscedastic extremes
Einmahl, John H. J.
;
Haan, Laurens de
;
Chen Zhou
-
2014
Persistent link: https://www.econbiz.de/10010395089
Saved in:
4
A statistical methodology for assessing the maximal strength of tail dependence
Sun, Ning
;
Yang, Chen
;
Zitikis, Ričardas
- In:
ASTIN bulletin : the journal of the International …
50
(
2020
)
3
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012307385
Saved in:
5
Combined tail estimation using censored data and expert information
Bladt, Martin
;
Albrecher, Hansjörg
;
Beirlant, Jan
- In:
Scandinavian actuarial journal
2020
(
2020
)
6
,
pp. 503-525
Persistent link: https://www.econbiz.de/10012262751
Saved in:
6
Value-at-risk : techniques to account for leptokurtosis and asymmetric behavior in returns distribtions
Lechner, Lindsay A.
;
Ovaert, Timothy C.
- In:
Journal of risk finance : the convergence of financial …
11
(
2010
)
5
,
pp. 464-480
Persistent link: https://www.econbiz.de/10008778709
Saved in:
7
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
Saved in:
8
Estimating the tails : application of EVT in Indian capital market
Roy, Malay K.
;
Roy, Hirak
;
Ghosh, Surajit
- In:
Praj̄nȧn : journal of social and management sciences
40
(
2011
)
3
,
pp. 215-232
Persistent link: https://www.econbiz.de/10009490929
Saved in:
9
A comparison of tail behaviour of stock market returns
Echaust, Krzysztof
- In:
Folia oeconomica Stetinensia : FOS
14
(
2014
)
1
,
pp. 22-34
Persistent link: https://www.econbiz.de/10010518936
Saved in:
10
Construction and backtesting of a multi-factor stress-scenario for the stock market
Boldyrev, Kirill
;
Andrianov, Dmitry
;
Ivliev, Sergey
- In:
Financial econometrics and empirical market microstructure
,
(pp. 37-45)
.
2015
Persistent link: https://www.econbiz.de/10011326724
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