Pages that link to "Item:Q1423365"

The following pages link to High volatility, thick tails and extreme value theory in value-at-risk estimation. (Q1423365):

Displaying 27 items.

• CVaR measurement and operational risk management in commercial banks according to the peak value method of extreme value theory (Q462734) (← links)
• Estimation of extreme value-at-risk: an EVT approach for quantile GARCH model (Q485704) (← 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)
• Conditional VaR estimation using Pearson's type IV distribution (Q933511) (← links)
• A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
• Measuring value at risk with an extremal process (Q1395963) (← links)
• Bayesian analysis of tail asymmetry based on a threshold extreme value model (Q1621333) (← links)
• Mark to market value at risk (Q1739653) (← links)
• Volatility model selection for extremes of financial time series (Q1926388) (← links)
• GFC-robust risk management under the Basel accord using extreme value methodologies (Q2227447) (← links)
• A detailed comparison of value at risk estimates (Q2227451) (← links)
• Forecasting value-at-risk with a duration-based POT method (Q2227456) (← 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)
• Measuring risks in the tail: The extreme VaR and its confidence interval (Q3119654) (← 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)
• Bi-objective reliability based optimization: an application to investment analysis (Q6491662) (← links)