Pages that link to "Item:Q1423365"
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The following pages link to High volatility, thick tails and extreme value theory in value-at-risk estimation. (Q1423365):
Displayed 16 items.
- CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory (Q462734) (← links)
- Estimating generalized state density of near-extreme events and its applications in analyzing stock data (Q661204) (← links)
- Modelling the financial risk associated with U.S. Movie box office earnings (Q834289) (← links)
- An application of extreme value theory for measuring financial risk (Q853582) (← links)
- Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches (Q858848) (← links)
- Volatility, risk modeling and utility (Q858849) (← links)
- 3D extreme value analysis for stock return, interest rate and speed of mean reversion (Q896795) (← links)
- Mark to market value at risk (Q1739653) (← links)
- Extreme market risk and extreme value theory (Q2227458) (← links)
- Asymptotic expansions for the location invariant moment-type estimator (Q2270461) (← links)
- Risk analysis of cumulative intraday return curves (Q2417028) (← links)
- Estimation of tail-related value-at-risk measures: range-based extreme value approach (Q2879028) (← links)
- Estimating a tail of the mixture of log-normal and inverse Gaussian distribution (Q4576759) (← links)
- Two-step methods in VaR prediction and the importance of fat tails (Q4683039) (← links)
- (Q5154662) (← links)
- Assessing the performance of confidence intervals for high quantiles of Burr XII and Inverse Burr mixtures (Q5867490) (← links)