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82 results on '"Trapin, Luca"'

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1. Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors

2. Modeling panels of extremes

4. Nonstandard Errors

7. Non-Standard Errors

8. Nonstandard Errors

9. Non-Standard Errors

10. Cluster analysis of weighted bipartite networks: a new copula-based approach

18. Non-Standard Errors

19. Non-Standard Errors

20. Non-standard errors

21. Non-Standard Errors

24. Realized peaks over threshold: A time-varying extreme value approach with high-frequency-based measures

25. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach

26. Ground-level ozone: Evidence of increasing serial dependence in the extremes

28. Can Volatility Models Explain Extreme Events?

29. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

32. Essays on extreme value theory in economics and finance

34. A simple approach to the estimation of Tukey's gh distribution

35. US stock returns: are there seasons of excesses?

38. Forward-Looking Volatility Estimation for Risk-Managed Investment Strategies during the COVID-19 Crisis.

39. Nonstandard errors

40. Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures*

41. Managing liquidity with portfolio staleness

42. Can Volatility Models Explain Extreme Events?*

43. Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach

44. Ground-level ozone: Evidence of increasing serial dependence in the extremes

45. A simple approach to the estimation of Tukey's gh distribution

46. Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective

47. Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements

48. Measuring the propagation of financial distress with Granger-causality tail risk networks

49. Estimating and Forecasting Conditional Risk Measures with Extreme Value Theory: A Review

50. A characteristic function-based approach to approximate maximum likelihood estimation

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