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1
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
Saved in:
2
Backtesting extreme value theory models of expected shortfall
Novales, Alfonso
;
Garcia-Jorcano, Laura
- In:
Quantitative finance
19
(
2019
)
5
,
pp. 799-825
Persistent link: https://www.econbiz.de/10012194717
Saved in:
3
Assessing coherent value-at-risk and expected shortfall with extreme expectiles
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
-
2015
Persistent link: https://www.econbiz.de/10011302290
Saved in:
4
Value at risk of the main stock market indexes in the European Union ; (2000 - 2012)
Iglesias, Emma M.
- In:
Journal of policy modeling : JPMOD ; a social science …
37
(
2015
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011333008
Saved in:
5
On agricultural commodities' extreme price risk
Oordt, Maarten van
;
Stork, Philip
;
Vries, Casper G. de
-
2013
Persistent link: https://www.econbiz.de/10010225579
Saved in:
6
Value at Risk and expected shortfall of firms in the main European Union stock market indexes : a detailed analysis by economic sectors and geographical situation
Iglesias, Emma M.
- In:
Economic modelling
50
(
2015
),
pp. 1-8
Persistent link: https://www.econbiz.de/10011439601
Saved in:
7
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
8
Optimal pooling and distributed inference for the tail index and extreme quantiles
Daouia, Abdelaati
;
Padoan, Simone A.
;
Stupfler, Gilles
-
2022
Persistent link: https://www.econbiz.de/10013170008
Saved in:
9
Inference for extremal regression with dependent heavy-tailed data
Daouia, Abdelaati
;
Stupfler, Gilles
;
Usseglio-Carleve, …
-
2022
Persistent link: https://www.econbiz.de/10013170015
Saved in:
10
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
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