Similar Search Results

Narrow search

A comparison of tail behaviour of stock market returns

Echaust, Krzysztof - In: Folia oeconomica Stetinensia : FOS 14 (2014) 1, pp. 22-34

Persistent link: https://www.econbiz.de/10010518936

Extreme value theory in emerging markets : evidence from the Montenegrin stock exchange

Cerovic Smolovic, Julija; Karadžić, Vesna - In: Economic annals 60 (2015) 206, pp. 87-116

Persistent link: https://www.econbiz.de/10011421685

Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions

Ignatieva, Ekaterina; Landsman, Zinoviy - In: Insurance / Mathematics & economics 65 (2015), pp. 172-186

Persistent link: https://www.econbiz.de/10011428649

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

In this article we consider the efficient estimation of the tail distribution of the maximum of correlated normal random variables. We show that the currently recommended Monte Carlo estimator has difficulties in quantifying its precision, because its sample variance estimator is an inefficient...

Persistent link: https://www.econbiz.de/10011431354