Search Results - "tail"

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    Extreme M-quantiles as risk measures: from L1 to Lp optimization by Daouia, Abdelaati, Girard, Stéphane, Stupfler, Gilles

    Published 2019
    Subjects: “…Asymptotic normality; Dependent observations; Expectiles; Extrapolation; Extreme values; Heavy tails; Lp optimization; Mixing; Quantiles; Tail risk…”
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    Some aspects of signal processing in heavy tailed noise by Brcic, Ramon

    Published 2002
    Subjects: “…heavy tailed distributions…”
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    Systemic risk and macroeconomic fat tails by Bougheas, Spiros, Harvey, David, Kirman, Alan

    Published 2018
    Subjects: “…Systemic risk; Banking system; Aggregate risk; Financial network; Fat tails…”
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    Tests for an end-of-sample bubble in financial time series by Astill, Sam, Harvey, David I., Leybourne, Stephen J., Taylor, Robert

    Published 2017
    Subjects: “…Rational bubble; Explosive autoregression; Right-tailed unit root testing: Sub-sampling…”
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    Tests for explosive financial bubbles in the presence of non-stationary volatility by Harvey, David I., Leybourne, Stephen J., Sollis, Robert, Taylor, A.M. Robert

    Published 2015
    Subjects: “…Rational bubble; Explosive autoregression; Non-stationary volatility; Right-tailed unit root testing…”
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    Estimation of tail risk based on extreme expectiles by Daouia, Abdelaati, Girard, Stéphane, Stupfler, Gilles

    Published 2017
    Subjects: “…Asymmetric squared loss; Coherency; Expectiles; Extrapolation; Extreme values; Heavy tails; Marginal expected shortfall; Value at Risk…”
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