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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - In: Journal of international money and finance 25 (2006) 7, pp. 1187-1205
Persistent link: https://www.econbiz.de/10003394359
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Testing for multiple regimes in the tail behavior of emerging currency returns
Candelon, Bertrand; Straetmans, Stefan - 2003
Persistent link: https://www.econbiz.de/10001882761
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Modelling conditional heteroskedasticity in JSE stock returns using the Generalised Pareto Distribution
Sigaukea, Caston; Makhwiting, Rhoda M.; Lesaoana, Maseka - In: African review of economics & finance : AREF : (a … 6 (2014) 1, pp. 41-55
Persistent link: https://www.econbiz.de/10010422319
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Testing for structural breaks in the presence of data perturbations : impacts and wavelet based improvements
Reese, Simon; Li, Yushu - 2013
Persistent link: https://www.econbiz.de/10010195441
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Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip - In: Journal of quantitative economics 18 (2020) 3, pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
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Optimal dynamic hedging strategy with futures oil markets via FIEGARCH-EVT copula models
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: International journal of managerial and financial accounting 4 (2012) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10009500227
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Fitting the generalized Pareto distribution to commercial fire loss severity : evidence from Taiwan
Lee, Wo-chiang - In: Journal of risk 14 (2011/12) 3, pp. 63-80
Persistent link: https://www.econbiz.de/10009531007
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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
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Penalized quasi-likelihood estimation of generalized Pareto regression : consistent identification of risk factors for extreme losses
Meng, Jin; Chan, Kung-sik - In: Insurance / Mathematics & economics 104 (2022), pp. 60-75
Persistent link: https://www.econbiz.de/10013264936
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Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip - In: The journal of prediction markets 14 (2020) 1, pp. 27-48
Persistent link: https://www.econbiz.de/10012667394