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subject:"ARCH model"
~accessRights:"restricted"
~isPartOf:"International review of financial analysis"
~subject:"Statistical distribution"
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ARCH model
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Risikomaß
47
Risk measure
47
Portfolio selection
25
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25
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19
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19
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16
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Akinsomi, Omokolade
1
Argyropoulos, Christos
1
Bee, Marco
1
DeBoyrie, Maria Eugenia
1
Degiannakis, Stavros
1
Eom, Cheoljun
1
Eom, Yunsung
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Massaporn Cheuathonghua
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International review of financial analysis
Insurance / Mathematics & economics
59
Finance research letters
39
International journal of forecasting
29
Energy economics
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
Journal of banking & finance
18
The journal of risk model validation
18
Journal of econometrics
17
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Journal of empirical finance
14
Journal of financial econometrics
14
Computational economics
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International review of economics & finance : IREF
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Pacific-Basin finance journal
12
Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Scandinavian actuarial journal
11
The journal of operational risk
11
European journal of operational research : EJOR
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Journal of international financial markets, institutions & money
9
The European journal of finance
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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
4
Financial markets and portfolio management
4
International journal of finance & economics : IJFE
4
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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Mathematical finance : an international journal of mathematics, statistics and financial economics
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1
Diversifying and hedging REIT portfolios with cryptocurrencies : evidence from global and regional REIT indices
Odusami, Babatunde Olatunji
;
Akinsomi, Omokolade
- In:
International review of financial analysis
94
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014544083
Saved in:
2
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano
;
Nave Pineda, Juan M.
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
Saved in:
3
An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning
;
Su, Xiaoman
;
Qi, Shuyuan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
Saved in:
4
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
5
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
6
Left-tail momentum and tail properties of return distributions : a case of Korea
Eom, Cheoljun
;
Eom, Yunsung
;
Park, Jong Won
- In:
International review of financial analysis
87
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014457498
Saved in:
7
Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis
Massaporn Cheuathonghua
;
DeBoyrie, Maria Eugenia
; …
- In:
International review of financial analysis
80
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013366188
Saved in:
8
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
9
Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Wang, Lu
;
Ma, Feng
;
Hao, Jianyang
;
Gao, Xinxin
- In:
International review of financial analysis
76
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012804675
Saved in:
10
Backtesting VaR and ES under the magnifying glass
Argyropoulos, Christos
;
Panopulu, Aikaterinē
- In:
International review of financial analysis
64
(
2019
),
pp. 22-37
Persistent link: https://www.econbiz.de/10012208280
Saved in:
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