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isPartOf:"The journal of fixed income"
~isPartOf:"Risk management : a journal of risk, crisis and disaster"
~subject:"ARCH model"
~subject:"Hedge fund"
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Będowska-Sójka, Barbara
1
Cakici, Nusret
1
Cardona, Emilio
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Clark, Allan Ernest
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D'Vari, Ron
1
Elenjical, Timmy
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The journal of fixed income
Risk management : a journal of risk, crisis and disaster
Energy economics
28
Finance research letters
27
Journal of empirical finance
26
Journal of banking & finance
25
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of risk
24
Economic modelling
22
International journal of forecasting
22
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
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Working papers
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International review of economics & finance : IREF
13
Journal of econometrics
12
Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of international financial markets, institutions & money
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Risks : open access journal
9
The European journal of finance
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Journal of financial econometrics
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Pacific-Basin finance journal
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Annals of financial economics
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1
Measuring contagion risk in high volatility state among Taiwanese major banks
Su, Ender
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
3
,
pp. 185-241
Persistent link: https://www.econbiz.de/10011885900
Saved in:
2
Risk and return of a trend-chasing application in financial markets: an empirical test
Ilomäki, Jukka
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
3
,
pp. 258-272
Persistent link: https://www.econbiz.de/10011885978
Saved in:
3
Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
4
,
pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
Saved in:
4
Dependent bootstrapping for value-at-risk and expected shortfall
Laker, Ian
;
Huang, Chun-Kai
;
Clark, Allan Ernest
- In:
Risk management : a journal of risk, crisis and disaster
19
(
2017
)
4
,
pp. 301-322
Persistent link: https://www.econbiz.de/10011850004
Saved in:
5
A comparative cross-regime analysis on the performance of GARCH-based value-at-risk models : evidence from the Johannesburg stock exchange
Elenjical, Timmy
;
Mwangi, Patrick
;
Panulo, Barry
; …
- In:
Risk management : a journal of risk, crisis and disaster
18
(
2016
)
2/3
,
pp. 89-110
Persistent link: https://www.econbiz.de/10011537385
Saved in:
6
Estimation of dynamic VaR using JSU and PIV distributions
Venkataraman, Sree Vinutha
;
Rao, S. V. D. Nageswara
- In:
Risk management : a journal of risk, crisis and disaster
18
(
2016
)
2/3
,
pp. 111-134
Persistent link: https://www.econbiz.de/10011537388
Saved in:
7
Testing expected shortfall : an application to emerging market stock indices
Cardona, Emilio
;
Mora-Valencia, Andrés
; …
- In:
Risk management : a journal of risk, crisis and disaster
21
(
2019
)
3
,
pp. 153-182
Persistent link: https://www.econbiz.de/10012063260
Saved in:
8
Hedge fund risk factors and the value at risk of fixed income trading strategies
Loudon, Geoffrey F.
;
Okunev, John
;
White, Derek
- In:
The journal of fixed income
16
(
2006
)
2
,
pp. 46-61
Persistent link: https://www.econbiz.de/10003400072
Saved in:
9
Value at risk for interest rate-dependent securities
Cakici, Nusret
;
Foster, Kevin R.
- In:
The journal of fixed income
12
(
2002
)
4
,
pp. 81-95
Persistent link: https://www.econbiz.de/10001774645
Saved in:
10
Value at risk estimates for Brady bond portfolios
D'Vari, Ron
;
Sosa, Juan C.
- In:
The journal of fixed income
10
(
2000
)
3
,
pp. 7-23
Persistent link: https://www.econbiz.de/10001549788
Saved in:
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