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A new Bayesian method for estimation of value at risk and conditional value at risk. (2025). Sanjun, Eva L ; Pizarro, Mario M ; Parra, Isabel M ; Martn, Jacinto.
In: Empirical Economics.
RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02664-2.

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Documents in RePEc which have cited the same bibliography

  1. A new Bayesian method for estimation of value at risk and conditional value at risk. (2025). Sanjun, Eva L ; Pizarro, Mario M ; Parra, Isabel M ; Martn, Jacinto.
    In: Empirical Economics.
    RePEc:spr:empeco:v:68:y:2025:i:3:d:10.1007_s00181-024-02664-2.

    Full description at Econpapers || Download paper

  2. An evaluation of the adequacy of Lévy and extreme value tail risk estimates. (2024). Hassan, M. Kabir ; Mozumder, Sharif.
    In: Financial Innovation.
    RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00614-6.

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  3. Grid-Based Precipitation Quantile Estimation Considering Homogeneity Using ERA5-Land Data for the Korean Peninsula. (2024). Lee, Eui Hoon ; Seo, Jungho ; Jun, Changhyun ; Baik, Jongjin ; Oh, Sejeong.
    In: Sustainability.
    RePEc:gam:jsusta:v:16:y:2024:i:21:p:9295-:d:1506851.

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  4. The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick.
    In: Papers.
    RePEc:arx:papers:2304.10349.

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  5. Impact of sovereign credit ratings on systemic risk and the moderating role of regulatory reforms: An international investigation. (2022). Rizwan, Muhammad Suhail ; Sahibzada, Irfan Ullah ; Qureshi, Anum.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:145:y:2022:i:c:s0378426622002345.

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  6. Time‐varying dynamics of expected shortfall in commodity futures markets. (2021). Mehlitz, Julia S ; Auer, Benjamin R.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:41:y:2021:i:6:p:895-925.

    Full description at Econpapers || Download paper

  7. CATASTROPHE AND RATIONAL POLICY: CASE OF NATIONAL SECURITY. (2021). Weber, Bryan ; Mohtadi, Hamid.
    In: Economic Inquiry.
    RePEc:bla:ecinqu:v:59:y:2021:i:1:p:140-161.

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  8. Systemic risk: The impact of COVID-19. (2020). Ashraf, Dawood ; Rizwan, Muhammad Suhail ; Ahmad, Ghufran.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:36:y:2020:i:c:s154461232030684x.

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  9. The economic and financial properties of crude oil: A review. (2020). Lang, Korbinian ; Auer, Benjamin R.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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  10. A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Fringuellotti, Fulvia ; Farkas, Walter ; Tunaru, Radu.
    In: Journal of Corporate Finance.
    RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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  11. How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Auer, Benjamin R ; Mogel, Benjamin.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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  12. Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis. (2018). Valaskova, Katarina ; Kliestik, Tomas ; Adamko, Peter ; Svabova, Lucia.
    In: Sustainability.
    RePEc:gam:jsusta:v:10:y:2018:i:7:p:2144-:d:154028.

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  13. Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623.

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  14. The dependence structure between Chinese and other major stock markets using extreme values and copulas. (2018). Li, Steven ; Hussain, Saiful Izzuan.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:56:y:2018:i:c:p:421-437.

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  15. Extreme Value of Intraday Returns. (2018). Muja, Aranit.
    In: Academic Journal of Interdisciplinary Studies.
    RePEc:bjz:ajisjr:1755.

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  16. A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk. (2017). Li, Longqing.
    In: MPRA Paper.
    RePEc:pra:mprapa:85645.

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  17. Elliptical tempered stable distribution. (2016). Fabozzi, Frank ; Kim, Young S ; Fallahgoul, Hassan A.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:7:p:1069-1087.

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  18. How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6288.

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  19. Extreme Value Theory and long-memory-GARCH Framework: Application to Stock Market. (2015). Mokni, Khaled ; Youssef, Manel ; Belkacem, Lotfi.
    In: International Journal of Economics and Empirical Research (IJEER).
    RePEc:ijr:journl:v:3:y:2015:i:8:p:371-388.

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  20. Pricing the (European) option to switch between two energy sources: An application to crude oil and natural gas. (2015). Gatfaoui, Hayette.
    In: Energy Policy.
    RePEc:eee:enepol:v:87:y:2015:i:c:p:270-283.

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  21. Unexpected tails in risk measurement: Some international evidence. (2014). Tolikas, Konstantinos.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:40:y:2014:i:c:p:476-493.

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  22. Estimation of tail‐related risk measures in the Indian stock market: An extreme value approach. (2013). Karmakar, Madhusudan.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:22:y:2013:i:3:p:79-85.

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  23. Estimation of tail-related risk measures in the Indian stock market: An extreme value approach. (2013). Karmakar, Madhusudan.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:22:y:2013:i:3:p:79-85.

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  24. Testing for financial crashes using the Log Periodic Power Law model. (2013). Joseph, Nathan Lael ; Bree, David S..
    In: International Review of Financial Analysis.
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  25. Effectiveness of copula-extreme value theory in estimating value-at-risk: empirical evidence from Asian emerging markets. (2012). Chiou, Wan-Jiun ; Chun- Pin Hsu, ; Chin- Wen Huang, .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:39:y:2012:i:4:p:447-468.

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  26. Time series analysis for financial market meltdowns. (2011). Fabozzi, Frank ; Kim, Youngshin ; Rachev, Svetlozar T. ; Bianchi, Michele Leonardo ; Mitov, Ivan .
    In: Journal of Banking & Finance.
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  27. Comparing simulation models for market risk stress testing. (2011). Basu, Sanjay.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:213:y:2011:i:1:p:329-339.

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  28. Extreme value theory for finance: a survey. (2011). Rocco, Marco .
    In: Questioni di Economia e Finanza (Occasional Papers).
    RePEc:bdi:opques:qef_99_11.

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