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The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets
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The Distribution Of Extremal Foreign Exchange Rate Returns In Extremely Large Data Sets (1998)The Distribution Of Extremal Foreign Exch…The power-law tail exponent of income distributions (2006)The power-law tail exponent o…Measuring tail thickness under GARCH and an application to extreme exchange rate changes (2004)Measuring tail thickness unde…An Application of Extreme Value Theory for Measuring Risk (2003)An Application of Extreme Val…Extreme Value Theory for Tail-Related Risk Measures (2000)Extreme Value Theory for Tail…A note on the relationship between GARCH and symmetric stable processes (1995)A note on the relationship be…Using a Bootstrap Method to Choose the Sample Fraction in Tail Index Estimation (2001)Problems with fitting to the power-law distribution (2004)Power law tails in the Italian personal income distribution (2005)A non-Gaussian approach to risk measures (2006)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Stationarity and Persistence in the GARCH(1,1) Model (1990)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Residual Life Time at Great Age (1974)Modelling of extremal events in insurance and finance (1994)Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach (2000)Extreme Value Theory and Fat Tails in Equity Markets (2006)Value at risk, GARCH modelling and the forecasting of hedge fund return volatility (2007)ARCH modeling in finance (1992)An Introduction to Statistical Modeling of Extreme Values (2001)Review on behavioral economics and behavioral finance (2020)Empirical Study of Value-at-Risk and Expected Shortfall Models With Heavy Tails (2005)Measuring and Managing Operational Risk in the Financial Sector: An Integrated Framework (2005)Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed (2021)
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  • 2006The power-law tail exponent of income distributions80 cited
  • 2000Extreme Value Theory for Tail-Related Risk Measures65 cited
  • 2003An Application of Extreme Value Theory for Measuring Risk52 cited
  • 2004Measuring tail thickness under GARCH and an application to extreme exchange rate changes46 cited
  • 1995A note on the relationship between GARCH and symmetric stable processes27 cited

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