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Extreme value statistics using related variables
Ahmed, Hanan - 2022
Persistent link: https://www.econbiz.de/10013263346
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Estimating and backtesting risk under heavy tails
Pitera, Marcin; Schmidt, Thorsten - In: Insurance / Mathematics & economics 104 (2022), pp. 1-14
Persistent link: https://www.econbiz.de/10013264930
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Extreme value estimation of the conditional risk premium in reinsurance
Goegebeur, Yuri; Guillou, Armelle; Qin, Jing - In: Insurance / Mathematics & economics 96 (2021), pp. 68-80
Persistent link: https://www.econbiz.de/10012482751
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Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen; Chuang, I-Yuan - In: Applied economics 53 (2021) 4, pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
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Optimization of multi-period portfolio model after fitting best distribution
Kamali, Rezvan; Mahmoodi, Safieh; Jahandideh, Mohammad-Taghi - In: Finance research letters 30 (2019), pp. 44-50
Persistent link: https://www.econbiz.de/10012420187
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Assessing tail risk for nonlinear dependence of MSCI sector indices : a copula three-stage approach
De Luca, Giovanni; Guégan, Dominique; Rivieccio, Giorgia - In: Finance research letters 30 (2019), pp. 327-333
Persistent link: https://www.econbiz.de/10012420870
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Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin; Biljon, L. van; Haasbroek, L. J.; … - In: The journal of risk model validation 13 (2019) 4, pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
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Distributionally robust inference for extreme Value-at-Risk
Yuen, Robert; Stoev, Stilian; Cooley, Daniel - In: Insurance / Mathematics & economics 92 (2020), pp. 70-89
Persistent link: https://www.econbiz.de/10012242040
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GARCH models in value at risk estimation : empirical evidence from the Montenegrin stock exchange
Cerovic Smolovic, Julija; Lipovina-Božović, Milena; … - In: Economic research 30 (2017) 1,1, pp. 477-498
Persistent link: https://www.econbiz.de/10012223947
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Estimation and inference about tail features with tail censored data
Wang, Yulong; Xiao, Zhijie - 2020 - This version: March 2020
Persistent link: https://www.econbiz.de/10012231154