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The analysis of extreme events : some forecasting approaches

Salzano, Massimo - In: Mathematical and statistical methods in insurance and …, (pp. 200-205). 2008

Persistent link: https://www.econbiz.de/10003838573

Currency crisis contagion and the identification of transmission channels

Haile, Fasika; Pozo, Susan - In: International review of economics & finance : IREF 17 (2008) 4, pp. 572-588

Persistent link: https://www.econbiz.de/10003793164

Can open capital markets help avoid currency crises?

Garita, Gus; Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003806070

Min and max uniform extreme interval values and statistics

Jance, Marsha; Thomopoulos, Nick - In: Journal of business & economics research 7 (2009) 1, pp. 47-51

Persistent link: https://www.econbiz.de/10003809636

Dependence structure of risk factors and diversification effects

Chen Zhou - 2009

Persistent link: https://www.econbiz.de/10003865271

Ultimate 100m world records through extreme-value theory

Einmahl, John H. J.; Smeets, Sander G. W. R. - 2009

Persistent link: https://www.econbiz.de/10003865811

Predictive performance of conditional extreme value theory in value-at-risk estimation

Ghorbel, Ahmded; Trabelsi, Abdelwahed - In: International journal of monetary economics and finance 1 (2008) 2, pp. 121-148

Persistent link: https://www.econbiz.de/10003822451

Linear correlation and EVT : properties and caveats

Embrechts, Paul - In: Journal of financial econometrics : official journal of … 7 (2009) 1, pp. 30-39

Persistent link: https://www.econbiz.de/10003825739

Extreme observations and risk assessment in the equity markets of MENA region : tail measures and Value-at-Risk

Assaf, Ata - In: International review of financial analysis 18 (2009) 3, pp. 109-116

Persistent link: https://www.econbiz.de/10003880019

Distribution of extreme changes in Asian currencies : tail index estimates and value-at-risk calculations

Aggarwal, Raj; Qi, Min - In: Applied financial economics 19 (2009) 13/15, pp. 1083-1102

This study examines the distribution of extreme values in daily currency changes for nine Asian countries. Using an improved estimator, extreme changes in Asian currencies can generally be represented by Frechet distributions. Our results are robust to the choice of the numeraire currency, the...

Persistent link: https://www.econbiz.de/10003886004