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Measuring Black Swans in Finan...
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Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
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Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
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2022
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1
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pp. 18-44
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Operational risk - scenario analysis
Rippel, Milan
;
Teplý, Petr
- In:
Prague economic papers : a bimonthly journal of …
20
(
2011
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1
,
pp. 23-39
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Estimation of tail-related risk measures in the Indian stock market : an extreme value approach
Karmakar, Madhusudan
- In:
Review of financial economics : RFE
22
(
2013
)
3
,
pp. 79-85
Persistent link: https://www.econbiz.de/10010213379
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85
Tail risk
measurement
In crypto-asset markets
Ahelegbey, Daniel Felix
;
Giudici, Paolo
;
Mojtahedi, Fatemeh
-
2020
Persistent link: https://www.econbiz.de/10012321939
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86
Portfolio stress testing applied to commodity futures
Paraschiv, Florentina
;
Reese, Stine Marie
;
Skjelstad, …
- In:
Computational management science
17
(
2020
)
2
,
pp. 203-240
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Tail asymptotics of generalized deflated risks with insurance applications
Ling, Chengxiu
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Peng, Zuoxiang
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 220-231
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Extremes for coherent risk measures
Asimit, Alexandru
;
Li, Jinzhu
- In:
Insurance / Mathematics & economics
71
(
2016
),
pp. 332-341
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Semi-parametric method for estimating tail related risk measures in the stock market
Lee, Ho Jin
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The Korean economic review
32
(
2016
)
2
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pp. 295-329
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Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime
Brahimi, Brahim
;
Abdelli, Jihane
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 135-143
Persistent link: https://www.econbiz.de/10011597203
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