Extreme-quantile tracking for financial time series-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Extreme-quantile tracking for financial time series

Published:2014-07 Issue:1 Volume:181 Page:44-52
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Chavez-Demoulin V.,Embrechts P.,Sardy S.

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference49 articles.

1. Regime changes and financial markets;Ang;Ann. Rev. Fin. Econom.,2012

2. The Blank Swan. The End of Probability;Ayache,2010

3. Residual life time at great age;Balkema;Ann. Probab.,1974

4. BCBS, 2012. Basel Committee on Banking Supervision. Consultative document: fundamental review of the trading book.

5. BCBS, 2013. Basel Committee on Banking Supervision. Consultative document: fundamental review of the trading book—A revised market risk framework.

Cited by 73 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Cross-validation on extreme regions;Extremes;2024-09-03

2. The relationship between renewable energy attention and volatility: A HAR model with markov time-varying transition probability;Research in International Business and Finance;2024-08

3. An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile;Journal of Empirical Finance;2024-06

4. On the estimation of Value-at-Risk and Expected Shortfall at extreme levels;Journal of Commodity Markets;2024-06

5. An evaluation of the adequacy of Lévy and extreme value tail risk estimates;Financial Innovation;2024-05-03

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP