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Citations for "Tail-Index Estimates in Small Samples"

by Huisman, Ronald, et al

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  1. Jansen, Dennis W. & Koedijk, Kees G. & de Vries, Casper G., 2000. "Portfolio selection with limited downside risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 247-269, November.
  2. Olivier De Jonghe, 2009. "Back to the basics in banking ? A micro-analysis of banking system stability," Working Paper Research 167, National Bank of Belgium.
  3. repec:dgr:uvatin:20060086 is not listed on IDEAS
  4. Qin, Xiao & Liu, Liya, 2014. "Extremes, return level and identification of currency crises," Economic Modelling, Elsevier, vol. 37(C), pages 439-450.
  5. Chapelle, Ariane & Crama, Yves & Hübner, Georges & Peters, Jean-Philippe, 2008. "Practical methods for measuring and managing operational risk in the financial sector: A clinical study," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1049-1061, June.
  6. Mohammad Karimi & Marcel-Cristian Voia, 2011. "Identifying Extreme Values of Exchange Market Pressure," Carleton Economic Papers 11-10, Carleton University, Department of Economics.
  7. repec:dgr:kubcen:200945s is not listed on IDEAS
  8. Wagner Piazza Gaglianone & Luiz Renato Lima & Oliver Linton & Daniel Smith, 2009. "Evaluating Value-at-Risk models via Quantile Regression," Economics Working Papers we094625, Universidad Carlos III, Departamento de Economía.
  9. Cotter, John, 2004. "Varying the VaR for Unconditional and Conditional Environments," MPRA Paper 3483, University Library of Munich, Germany.
  10. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2007. "Selecting copulas for risk management," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2405-2423, August.
  11. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
  12. LONGIN, François & SOLNIK, Bruno, 2000. "Extreme correlation of international equity markets," Les Cahiers de Recherche 705, HEC Paris.
  13. Siregar, Reza & Pontines, Victor & Mohd Hussain, Nurulhuda, 2010. "The US Subprime Crises and Extreme Market Pressures in Asia," MPRA Paper 22995, University Library of Munich, Germany.
  14. Patrick de Fontnouvelle & Eric Rosengren & John Jordan, 2004. "Implications of alternative operational risk modeling techniques," Working Papers 04-9, Federal Reserve Bank of Boston.
  15. Ana-Maria Gavril, 2009. "Exchange Rate Risk: Heads or Tails," Advances in Economic and Financial Research - DOFIN Working Paper Series 35, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
  16. john cotter & kevin dowd, 2011. "Intra-Day Seasonality in Foreign Exchange Market Transactions," Papers 1103.5664, arXiv.org.
  17. Cotter, John & Dowd, Kevin, 2007. "The tail risks of FX return distributions: A comparison of the returns associated with limit orders and market orders," Finance Research Letters, Elsevier, vol. 4(3), pages 146-154, September.
  18. LeBaron, Blake, 2012. "Heterogeneous gain learning and the dynamics of asset prices," Journal of Economic Behavior & Organization, Elsevier, vol. 83(3), pages 424-445.
  19. Marcella Lucchetta & Gianni De Nicoló, 2012. "Systemic Real and Financial Risks; Measurement, Forecasting, and Stress Testing," IMF Working Papers 12/58, International Monetary Fund.
  20. Kevin Dowd & John Cotter, 2011. "Intra-Day Seasonality in Foreign Market Transactions," Working Papers 200746, Geary Institute, University College Dublin.
  21. De Jonghe, O.G., 2009. "Back to Basics in Banking? A Micro-Analysis of Banking System Stability," Discussion Paper 2009-45 S, Tilburg University, Center for Economic Research.
  22. Pontines, Victor & Siregar, Reza, 2008. "Fundamental pitfalls of exchange market pressure-based approaches to identification of currency crises," International Review of Economics & Finance, Elsevier, vol. 17(3), pages 345-365.
  23. Samuel Müller & Houng Chhay, 2011. "Partially smooth tail-index estimation for small samples," Computational Statistics, Springer, vol. 26(3), pages 491-505, September.
  24. Enrico Biffis & Erik Chavez, 2014. "Tail Risk in Commercial Property Insurance," Risks, MDPI, Open Access Journal, vol. 2(4), pages 393-410, September.
  25. Bertrand B. Maillet & Jean-Philippe R. Médecin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
  26. Longin, François & Solnik, Bruno H, 2000. "Extreme Correlation of International Equity Markets," CEPR Discussion Papers 2538, C.E.P.R. Discussion Papers.
  27. Cotter, John, 2004. "Modelling extreme financial returns of global equity markets," MPRA Paper 3532, University Library of Munich, Germany.
  28. Olivier De Jonghe, 2008. "The impact of revenue diversity on banking system stability," EIEF Working Papers Series 0815, Einaudi Institute for Economics and Finance (EIEF), revised Jul 2008.
  29. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 719-733, March.
  30. Dufour, Jean-Marie & Kurz-Kim, Jeong-Ryeol, 2010. "Exact inference and optimal invariant estimation for the stability parameter of symmetric [alpha]-stable distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 180-194, March.
  31. Cem PAYASLIOGLU, . "A Tail Index Tour across Foreign Exchange Regimes in Turkey," Middle East and North Africa 330400049, EcoMod.
  32. Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Journal of Econometrics, Elsevier, vol. 120(2), pages 295-326, June.
  33. Niklas Wagner & Terry Marsh, 2004. "Tail index estimation in small smaples Simulation results for independent and ARCH-type financial return models," Statistical Papers, Springer, vol. 45(4), pages 545-561, October.
  34. Amine JALAL & Michael ROCKINGER, 2004. "Predicting Tail-related Risk Measures: The Consequences of Using GARCH Filters for non-GARCH Data," FAME Research Paper Series rp115, International Center for Financial Asset Management and Engineering.
  35. Rustam Ibragimov & Marat Ibragimov & Rufat Khamidov, 2010. "Measuring Inequality in CIS Countries: Theory and Empirics," wiiw Balkan Observatory Working Papers 88, The Vienna Institute for International Economic Studies, wiiw.
  36. François, LONGIN & Bruno, SOLNIK, 1998. "Correlation Structure of International Equity Markets During Extremely Volatile Periods," Les Cahiers de Recherche 646, HEC Paris.
  37. Cotter, John & Longin, Francois, 2004. "Margin setting with high-frequency data," MPRA Paper 3528, University Library of Munich, Germany, revised 2006.
  38. Reza Siregar & Victor Pontines, 2004. "Successful and Unsuccessful Attacks: Evaluating the Stability of the East Asian Currencies," Centre for International Economic Studies Working Papers 2004-04, University of Adelaide, Centre for International Economic Studies.
  39. Schluter, Christian & Trede, Mark, 2008. "Identifying multiple outliers in heavy-tailed distributions with an application to market crashes," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 700-713, September.
  40. Raymond Knott & Marco Polenghi, 2006. "Assessing central counterparty margin coverage on futures contracts using GARCH models," Bank of England working papers 287, Bank of England.
  41. Pontines, Victor & Siregar, Reza, 2007. "The Yen, the US dollar, and the trade weighted basket of currencies: Does the choice of anchor currencies matter in identifying incidences of speculative attacks?," Japan and the World Economy, Elsevier, vol. 19(2), pages 214-235, March.
  42. Philip Kostov & Seamus McErlean, 2004. "Estimating the probability of large negative stock market," Finance 0409011, EconWPA.
  43. Beran, Jan & Schell, Dieter, 2012. "On robust tail index estimation," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3430-3443.
  44. Wagner, Niklas & Marsh, Terry A., 2005. "Measuring tail thickness under GARCH and an application to extreme exchange rate changes," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 165-185, January.
  45. Dimitrakopoulos, Dimitris N. & Kavussanos, Manolis G. & Spyrou, Spyros I., 2010. "Value at risk models for volatile emerging markets equity portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(4), pages 515-526, November.
  46. Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
  47. John G. Galbraith & Serguei Zernov, 2006. "Extreme Dependence In The Nasdaq And S&P Composite Indexes," Departmental Working Papers 2006-14, McGill University, Department of Economics.
  48. M. Caivano & A. Harvey, 2013. "Two EGARCH models and one fat tail," Cambridge Working Papers in Economics 1326, Faculty of Economics, University of Cambridge.
  49. Sun, Haoze & Jiang, Yuexiang, 2014. "Empirical likelihood based confidence intervals for the tail index when γ<−1/2," Statistics & Probability Letters, Elsevier, vol. 84(C), pages 149-157.
  50. Longin, Francois, 2005. "The choice of the distribution of asset returns: How extreme value theory can help?," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 1017-1035, April.
  51. Candelon, Bertrand & Straetmans, Stefan, 2006. "Testing for multiple regimes in the tail behavior of emerging currency returns," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1187-1205, November.
  52. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.
  53. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Testing for differences in the tails of stock-market returns," Les Cahiers de Recherche 739, HEC Paris.
  54. Emma M. Iglesias & Oliver Linton, 2009. "Estimation of tail thickness parameters from GJR-GARCH models," Economics Working Papers we094726, Universidad Carlos III, Departamento de Economía.
  55. Brooks, C. & Clare, A.D. & Dalle Molle, J.W. & Persand, G., 2005. "A comparison of extreme value theory approaches for determining value at risk," Journal of Empirical Finance, Elsevier, vol. 12(2), pages 339-352, March.
  56. Ibragimov, Marat & Ibragimov, Rustam & Kattuman, Paul, 2013. "Emerging markets and heavy tails," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2546-2559.
  57. Victor Pontines & Reza Siregar, 2006. "Exchange Market Intervention and Evidence of Post-Crisis Flexible Exchange Rate Regimes in Selected East Asian Economies," Centre for International Economic Studies Working Papers 2006-01, University of Adelaide, Centre for International Economic Studies.
  58. Ainura Tursunalieva & Param Silvapulle, 2013. "Non-parametric Estimation of Operational Risk and Expected Shortfall," Monash Econometrics and Business Statistics Working Papers 23/13, Monash University, Department of Econometrics and Business Statistics.
  59. Hill, Jonathan B. & Shneyerov, Artyom, 2013. "Are there common values in first-price auctions? A tail-index nonparametric test," Journal of Econometrics, Elsevier, vol. 174(2), pages 144-164.
  60. Reza Siregar & Victor Pontines & Ramkishen Rajan,, 2004. "Extreme Value Theory and the Incidence of Currency Crises," Econometric Society 2004 Australasian Meetings 181, Econometric Society.
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