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Subsampling the distribution of diverging statistics with applications to finance
16 references·1 citing·38 second hop
Subsampling the distribution of diverging statistics with applications to finance (2003)Subsampling the distribution of diverging…Evaluation of Value-at-Risk Models Using Historical Data (2007)Evaluation of Value-at-Risk M…Value at Risk (2001)Value at RiskUsing a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Using a Bootstrap Method to C…Tail-Index Estimates in Small Samples (2001)Tail-Index Estimates in Small…Selecting the optimal sample fraction in univariate extreme value estimation (1998)Selecting the optimal sample …Heavy tail modeling and teletraffic data: special invited paper (1997)Heavy tail modeling and telet…Tail Index Estimation, Pareto Quantile Plots Regression Diagnostics (1996)Tail Index Estimation, Pareto…Heavy Tail Modelling and Teletraffic Data (1995)Heavy Tail Modelling and Tele…A Moment Estimator for the Index of an Extreme-Value Distribution (1989)A Moment Estimator for the In…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Extremes and related properties of random sequences and processes (1984)Extremes and related properti…Portfolio choice and equilibrium in capital markets with safety-first investors (1977)Portfolio choice and equilibr…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Safety First and the Holding of Assets (1952)Safety First and the Holding …Portfolio Selection (1952)Portfolio SelectionConditional VAR and Expected Shortfall: A New Functional Approach (2013)Conditional VAR and Expected …On Some Simple Estimates of an Exponent of Regular Variation (1982)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1991)ARCH modeling in finance (1992)Value-at-Risk and Extreme Returns (2000)Value-at-risk versus expected shortfall: A practical perspective (2004)An Application of Extreme Value Theory for Measuring Financial Risk (2006)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Chapter 49 Arch models (1994)Value at risk: the new benchmark for controlling market risk (1996)Modelling Extremal Events (1997)Normal mixture GARCH(1,1): applications to exchange rate modelling (2006)Selecting copulas for risk management (2007)Evaluating Value-at-Risk Models via Quantile Regression (2010)Theory of Rational Option Pricing (1973)Measuring and Testing the Impact of News on Volatility (1993)Introductory Econometrics for Finance (2008)Extremal behaviour of solutions to a stochastic difference equation with applications to arch processes (1989)The tail index of exchange rate returns (1990)Extreme events: dynamics, statistics and prediction (2011)On the Measurement of Poverty (1987)An Engine, Not a Camera (2006)Bank activity and funding strategies: The impact on risk and returns☆ (2010)Tail Index Estimation and an Exponential Regression Model (1999)A Conditional Approach for Multivariate Extreme Values (with Discussion) (2004)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Measuring systemic risk: A risk management approach (2005)Supply chain risk management and performance (2007)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

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  • 1952Portfolio Selection4,609 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities3,864 cited
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  • 1977Portfolio choice and equilibrium in capital markets with safety-first investors215 cited
  • 1995

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Heavy Tail Modelling and Teletraffic Data
186 cited

Cited by

  • 2013Conditional VAR and Expected Shortfall: A New Functional Approach31 cited