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subject:"ARCH model"
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~subject:"Statistical distribution"
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Search: subject_exact:"Value at risk"
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ARCH model
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Hoga, Yannick
7
Landsman, Zinoviy
7
Taylor, James W.
6
Tiwari, Aviral Kumar
6
Bee, Marco
5
Furman, Edward
5
Kang, Sang Hoon
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Petrella, Lea
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Su, Jianxi
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5
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4
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4
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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
Blazsek, Szabolcs
3
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3
Bouri, Elie
3
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3
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Insurance / Mathematics & economics
59
Finance research letters
38
International journal of forecasting
29
Energy economics
24
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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16
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14
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14
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13
International review of economics & finance : IREF
13
International review of financial analysis
13
Pacific-Basin finance journal
12
Research in international business and finance
12
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
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
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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
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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ECONIS (ZBW)
712
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11
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
Saved in:
12
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Wei, Yunran
;
Zitikis, Ric̆ardas
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 163-172
Persistent link: https://www.econbiz.de/10014317143
Saved in:
13
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
14
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
15
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:
16
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:
17
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:
18
The impact of joint events on oil price volatility : evidence from a dynamic graphical news analysis model
Zhao, Lu-Tao
;
Wang, Dai-Song
;
Ren, Zhong-Yuan
- In:
Economic modelling
130
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014451154
Saved in:
19
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
20
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
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