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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
Statistical distribution
Risk measure
2,181
Risikomaß
2,177
Theorie
1,092
Theory
1,092
Portfolio selection
938
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935
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862
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853
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779
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751
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439
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439
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417
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414
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413
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404
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395
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388
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323
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323
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318
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318
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235
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221
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221
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213
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211
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202
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197
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194
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188
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187
Estimation theory
171
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171
Value at risk
171
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167
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167
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153
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712
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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
5
Petrella, Lea
5
Su, Jianxi
5
Tian, Maoxi
5
Wang, Ruodu
5
Ardia, David
4
Dempsey, Michael
4
Gerlach, Richard
4
Gupta, Rangan
4
Hammoudeh, Shawkat
4
Härdle, Wolfgang
4
Kim, Young Shin
4
Kok Haur Ng
4
Kumar, Dilip
4
Mao, Tiantian
4
Mensi, Walid
4
Mitic, Peter
4
Mozumder, Sharif
4
Shushi, Tomer
4
Tang, Qihe
4
Vanduffel, Steven
4
Westgaard, Sjur
4
Almeida, Caio
3
Alshater, Muneer Maher
3
Ardison, Kym
3
Asimit, Alexandru V.
3
Berger, Theo
3
Bernard, Carole
3
Bernardi, Mauro
3
Blazsek, Szabolcs
3
Bluteau, Keven
3
Bouri, Elie
3
Candido, Osvaldo
3
Chen, Cathy W. S.
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
Economic modelling
19
Journal of banking & finance
18
The journal of risk model validation
18
Journal of econometrics
17
Quantitative finance
16
Journal of empirical finance
14
Journal of financial econometrics
14
Computational economics
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
8
Astin bulletin : the journal of the International Actuarial Association
6
Journal of risk : JOR
5
Operations research letters
5
Studies in economics and finance
5
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
4
Journal of forecasting
4
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)
712
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681
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert
;
Kim, Tae-hwan
;
Manganelli, Simone
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
Saved in:
682
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
683
Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
684
Is risk higher during non-trading periods? : the risk trade-off for intraday versus overnight market returns
Riedel, Christoph
;
Wagner, Niklas F.
- In:
Journal of international financial markets, …
39
(
2015
),
pp. 53-64
Persistent link: https://www.econbiz.de/10011475596
Saved in:
685
Precious metals, cereal, oil and stock market linkages and portfolio risk management : evidence from Saudi Arabia
Mensi, Walid
;
Hammoudeh, Shawkat
;
Kang, Sang Hoon
- In:
Economic modelling
51
(
2015
),
pp. 340-358
Persistent link: https://www.econbiz.de/10011476048
Saved in:
686
Measuring financial market risk contagion using dynamic MRS-Copula models : the case of Chinese and other international stock markets
Changqing, Luo
;
Chi, Xie
;
Cong, Yu
;
Yan, Xu
- In:
Economic modelling
51
(
2015
),
pp. 657-671
Persistent link: https://www.econbiz.de/10011476241
Saved in:
687
Extreme risk spillovers between crude oil and stock markets
Du, Limin
;
He, Yanan
- In:
Energy economics
51
(
2015
),
pp. 455-465
Persistent link: https://www.econbiz.de/10011564907
Saved in:
688
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
689
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
690
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
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