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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
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2,111
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2,107
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1,067
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1,067
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908
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905
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Value at risk
167
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Hoga, Yannick
7
Landsman, Zinoviy
7
Taylor, James W.
6
Tiwari, Aviral Kumar
6
Furman, Edward
5
Kang, Sang Hoon
5
Petrella, Lea
5
Su, Jianxi
5
Ardia, David
4
Bee, Marco
4
Dempsey, Michael
4
Gerlach, Richard
4
Gupta, Rangan
4
Hammoudeh, Shawkat
4
Härdle, Wolfgang
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
Tian, Maoxi
4
Wang, Ruodu
4
Almeida, Caio
3
Ardison, Kym
3
Asimit, Alexandru V.
3
Berger, Theo
3
Bernardi, Mauro
3
Blazsek, Szabolcs
3
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3
Bouri, Elie
3
Candido, Osvaldo
3
Chen, Cathy W. S.
3
Chen, Yi-Hsuan
3
De Luca, Giovanni
3
Fałdziński, Marcin
3
Francq, Christian
3
Garcia, René
3
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Insurance / Mathematics & economics
59
International journal of forecasting
28
Finance research letters
27
Energy economics
23
The North American journal of economics and finance : a journal of financial economics studies
23
Applied economics
22
Journal of risk
22
Economic modelling
19
Journal of banking & finance
18
Journal of econometrics
17
The journal of risk model validation
15
Journal of empirical finance
14
Journal of financial econometrics
14
Quantitative finance
14
Computational economics
12
International review of economics & finance : IREF
12
International review of financial analysis
12
Research in international business and finance
12
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
12
Pacific-Basin finance journal
11
Scandinavian actuarial journal
11
The journal of operational risk
10
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
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
The European journal of finance
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
Theoretical economics letters
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ECONIS (ZBW)
681
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681
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1
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:
2
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:
3
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:
4
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
5
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
6
Importance sampling for calculating the Value-at-Risk and expected shortfall of the quadratic portfolio with t-distributed risk factors
Teng, Huei-Wen
- In:
Computational economics
62
(
2023
)
3
,
pp. 1125-1154
Persistent link: https://www.econbiz.de/10014382887
Saved in:
7
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
8
PELVE : probability equivalent level of VaR and ES
Li, Hengxin
;
Wang, Ruodu
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 353-370
Persistent link: https://www.econbiz.de/10014364915
Saved in:
9
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:
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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