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subject:"ARCH model"
~accessRights:"restricted"
~subject:"Statistical distribution"
~subject:"Statistische Verteilung"
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ARCH model
Statistical distribution
Statistische Verteilung
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2,207
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948
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Hoga, Yannick
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Landsman, Zinoviy
7
Tiwari, Aviral Kumar
7
Taylor, James W.
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Furman, Edward
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Kang, Sang Hoon
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Petrella, Lea
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Su, Jianxi
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4
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4
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Kok Haur Ng
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3
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3
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3
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3
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3
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3
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3
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3
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3
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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
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19
Journal of banking & finance
18
The journal of risk model validation
18
Journal of econometrics
17
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14
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International review of economics & finance : IREF
13
International review of financial analysis
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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
12
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
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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
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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
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
4
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ECONIS (ZBW)
720
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1
Idiosyncrasies of intraday risk in emerging and developed markets : efficacy of the MCS-GARCH model and extreme value theory
Banerjee, Aditya
;
Paul, Samit
- In:
Global business review
25
(
2024
)
2
,
pp. 468-490
Persistent link: https://www.econbiz.de/10014634250
Saved in:
2
The fatter the tail, the shorter the sail
Alsunbul, Saad
;
Alzugaiby, Basim
;
Chaudhry, Sajid M.
; …
- In:
Accounting and finance
64
(
2024
)
1
,
pp. 331-380
Persistent link: https://www.econbiz.de/10014537491
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
Natural disasters, stock price volatility in the property-liability insurance market and sustainability : an unexplored link
Montero, José-María
;
Naimy, Viviane
;
Farraj, Nermeen Abi
- In:
Socio-economic planning sciences : the international …
91
(
2024
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014528750
Saved in:
6
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
7
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
8
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
Saved in:
9
Nonparametric density estimation and risk quantification from tabulated sample moments
Lambert, Philippe
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 177-189
Persistent link: https://www.econbiz.de/10013534519
Saved in:
10
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
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