SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Estimating financial risk under time-varying extremal return behavior · Study

ArticleShelves

ArticleEstimating financial risk under time-varying extremal return behavior

Niklas Wagner2003

OA

Articlegreen2003

Estimating financial risk under time-varying extremal return behavior

22 citations·0/0 files stored·OR Spectrum

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Risk and Volatility Modeling Risk and Portfolio Optimization Probability and Risk Models

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 22 citations exist upstream.

References

2001An Introduction to Statistical Modeling of Extreme Values 1994Modelling of extremal events in insurance and finance 2000Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach 1998Incorporating volatility updating into the historical simulation method for value-at-risk 2002Conditional value-at-risk: Aspects of modeling and estimation 1999CAViaR: Conditional Value at Risk by Quantile Regression 2000Forecasting Extreme Financial Risk: A Critical Analysis of Practical Methods for the Japanese Market 2000Estimation of Value at Risk by Extreme Value Methods

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Autoregressive conditional tail behavior and results on Government bond yield spreadsarticle · 7 shared references 2012Extreme Value Theory for Finance: A Surveypreprint · 4 shared references 2012Extreme value theory versus traditional GARCH approaches applied to financial data: a comparative evaluationarticle · 4 shared references 2006An Application of Extreme Value Theory for Measuring Financial Riskarticle · 3 shared references 1999Extreme value theory for risk managersarticle · 3 shared references 2006Evaluating predictive performance of value-at-risk models in emerging markets: a reality checkarticle · 3 shared references

Details

Year2003

Typearticle

Published2003-08-01

VenueOR Spectrum

ISSN-L0171-6468

Languageen

Citations22

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1007/s00291-003-0126-6

openalex_workW192205118

Links

Imported from OpenAlex (CC0) — nothing here is generated.