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Troop, Dylan; Godin, Frédéric; Yu, Jia Yuan - In: Journal of Risk and Financial Management 15 (2022) 4, pp. 1-15

combining extreme value theory with automated threshold selection by ordered goodness-of-fit tests, and we apply this procedure …

Persistent link: https://www.econbiz.de/10014332373

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Oordt, Maarten van; Chen Zhou - 2013

Persistent link: https://www.econbiz.de/10010225580

Gammoudi, Imed; BelKacem, Lotfi; El Ghourabi, Mohamed - In: The international journal of business and finance … 8 (2014) 3, pp. 109-125

Persistent link: https://www.econbiz.de/10010241908

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

Persistent link: https://www.econbiz.de/10010399734

Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69

Persistent link: https://www.econbiz.de/10012500249

Oordt, Maarten R. C. van; Chen Zhou - In: Journal of financial econometrics 17 (2019) 3, pp. 432–461

Persistent link: https://www.econbiz.de/10012054463

Wing, Jean Paul Chung; Gonpot, Preethee Nunkoo - In: The journal of risk model validation 9 (2015) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10011410313

Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation …

Persistent link: https://www.econbiz.de/10011503775

Jakata, Owen; Chikobvu, Delson - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10012018994