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subject:"ARCH model"
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~subject:"Statistical distribution"
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ARCH model
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Risikomaß
99
Risk measure
99
Portfolio selection
43
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43
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41
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41
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31
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Haugom, Erik
2
Huang, Zhuo
2
Liang, Fang
2
Tang, Yusui
2
Zhong, Juandan
2
Ahn, Jungkyu
1
Ahn, Yongkil
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1
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Finance research letters
Insurance / Mathematics & economics
59
International journal of forecasting
29
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27
Journal of risk
23
The North American journal of economics and finance : a journal of financial economics studies
23
Applied economics
22
Economic modelling
19
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18
The journal of risk model validation
18
Journal of econometrics
17
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Computational economics
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International review of economics & finance : IREF
13
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Pacific-Basin finance journal
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Scandinavian actuarial journal
11
The journal of operational risk
11
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9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of international financial markets, institutions & money
9
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9
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8
Journal of mathematical finance
8
Risk management : a journal of risk, crisis and disaster
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Astin bulletin : the journal of the International Actuarial Association
6
Journal of risk : JOR
5
Operations research letters
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Studies in economics and finance
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ASTIN bulletin : the journal of the International Actuarial Association
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International journal of finance & economics : IJFE
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Journal of economic dynamics & control
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Journal of forecasting
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Management science : journal of the Institute for Operations Research and the Management Sciences
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1
Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto
;
Gómez, Fabio
; …
- In:
Finance research letters
65
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014564284
Saved in:
2
How useful are energy-related uncertainty for oil price volatility forecasting?
Zhang, Xiaoyun
;
Guo, Qiang
- In:
Finance research letters
60
(
2024
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014490433
Saved in:
3
The global spillovers of unconventional monetary policies on tail risks
Alonso, Irma
;
Serrano, Pedro
;
Vaello-Sebastià, Antoni
- In:
Finance research letters
59
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014445403
Saved in:
4
A value-at-risk forecastability indicator in the framework of a generalized autoregressive score with "asymmetric laplace distribution"
Dima, Bogdan
;
Dima, Ştefana Maria
;
Ioan, Roxana
- In:
Finance research letters
45
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014575518
Saved in:
5
More to cryptos than bitcoin : a GARCH modelling of heterogeneous cryptocurrencies
Fung, Kennard
;
Jeong, Jiin
;
Pereira, Javier
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10013457293
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6
Tail risk of international equity market and oil volatility
Zhong, Juandan
;
Cao, Wenhan
;
Tang, Yusui
- In:
Finance research letters
58
(
2023
)
1
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014582165
Saved in:
7
Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures
Ewald, Christian
;
Hadina, Jelena
;
Haugom, Erik
;
Lien, …
- In:
Finance research letters
58
(
2023
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014582226
Saved in:
8
The tail risk surface
Ahn, Jungkyu
;
Ahn, Yongkil
- In:
Finance research letters
58
(
2023
)
3
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014631255
Saved in:
9
Predicting gold volatility : exploring the impact of extreme risk in the international commodity market
Tang, Yusui
;
Zhong, Juandan
- In:
Finance research letters
58
(
2023
)
2
,
pp. 1-6
Persistent link: https://www.econbiz.de/10014631292
Saved in:
10
How does a change in downside risk affect optimal demand for a risky asset? : comparative statics on Tail Conditional Expectation
Nakamura, Kazuki
- In:
Finance research letters
58
(
2023
)
4
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014633349
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