Pages that link to "Item:Q853582"

The following pages link to An application of extreme value theory for measuring financial risk (Q853582):

Displaying 29 items.

• The maximum \(L_q\)-likelihood method: an application to extreme quantile estimation in finance (Q398802) (← links)
• On the measurement and treatment of extremes in time series (Q508717) (← links)
• Numerical convergence of the block-maxima approach to the generalized extreme value distribution (Q658475) (← links)
• Modelling the financial risk associated with U.S. Movie box office earnings (Q834289) (← links)
• A change-point approach for the identification of financial extreme regimes (Q2077439) (← links)
• Estimating and backtesting risk under heavy tails (Q2138613) (← links)
• Extreme events in dynamical systems and random walkers: a review (Q2144474) (← links)
• Predicting federal funds rate using extreme value theory (Q2213542) (← links)
• Extreme market risk and extreme value theory (Q2227458) (← links)
• Managing the risk based on entropic value-at-risk under a normal-Rayleigh distribution (Q2242773) (← links)
• Risk analysis of cumulative intraday return curves (Q2417028) (← links)
• An optimal threshod selection approach for the value at risk of the extreme events (Q2680664) (← links)
• Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution (Q2811451) (← links)
• Estimating Oil Price Value at Risk Using Belief Functions (Q4558859) (← links)
• How does the choice of Value-at-Risk estimator influence asset allocation decisions? (Q4619539) (← links)
• Higher-Order Infinitesimal Robustness (Q4904731) (← links)
• Discrimination of psychotropic drugs over‐consumers using a threshold exceedance based approach (Q4969884) (← links)
• Extreme Data Breach Losses: An Alternative Approach to Estimating Probable Maximum Loss for Data Breach Risk (Q5027909) (← links)
• (Q5069589) (← links)
• Semi-parametric expected shortfall forecasting in financial markets (Q5106839) (← links)
• Modelling oil and gas supply disruption risks using extreme-value theory and copula (Q5128553) (← links)
• (Q5154662) (← links)
• Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluation (Q5746742) (← links)
• Conditional VAR and Expected Shortfall: A New Functional Approach (Q5864357) (← links)
• SOME MEASURES INFORMATION FOR GENERALIZED AND <i>q</i>-GENERALIZED EXTREME VALUES AND ITS PROPERTIES (Q5880740) (← links)
• Assessment of dependent risk using extreme value theory in a time-varying framework (Q5886714) (← links)
• Joint tracking of multiple quantiles through conditional quantiles (Q6064465) (← links)
• A multiobjective optimization approach for threshold determination in extreme value analysis for financial time series (Q6149574) (← links)
• On \(q\)-generalized extreme values under power normalization with properties, estimation methods and applications to COVID-19 data (Q6618916) (← links)