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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
Risikomaß
38
Risk measure
38
Theorie
20
Theory
20
Portfolio selection
18
Portfolio-Management
18
Risk
11
Risiko
10
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10
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10
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Teng, Huei-Wen
2
Afuecheta, Emmanuel
1
Alvarez, Susana
1
Asai, Manabu
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1
Baixauli, J. Samuel
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1
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1
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1
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1
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Computational economics
Insurance / Mathematics & economics
82
Journal of banking & finance
48
International journal of forecasting
39
Journal of risk
35
Energy economics
33
Journal of empirical finance
33
Economic modelling
32
Applied economics
30
Finance research letters
30
The North American journal of economics and finance : a journal of financial economics studies
30
Risks : open access journal
29
The journal of risk model validation
26
Journal of econometrics
23
Journal of risk and financial management : JRFM
23
International review of financial analysis
22
The journal of operational risk
19
Journal of forecasting
18
Quantitative finance
17
International review of economics & finance : IREF
16
Journal of financial econometrics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Research in international business and finance
15
Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
The European journal of finance
13
European journal of operational research : EJOR
12
Journal of international financial markets, institutions & money
12
Pacific-Basin finance journal
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Applied economics letters
10
Journal of mathematical finance
10
Astin bulletin : the journal of the International Actuarial Association
9
Journal of risk management in financial institutions
8
Risk management : a journal of risk, crisis and disaster
8
International journal of economics and financial issues : IJEFI
7
Journal of international money and finance
7
Review of quantitative finance and accounting
7
Annals of financial economics
6
International journal of finance & economics : IJFE
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1
An application of the IFM method for the risk assessment of financial instruments
Pons, Adrià
;
Cristobal-Fransi, Eduard
;
Vintrò, Carla
; …
- In:
Computational economics
61
(
2023
)
1
,
pp. 295-315
Persistent link: https://www.econbiz.de/10014228427
Saved in:
2
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:
3
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:
4
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:
5
Horizon-adaptive extreme risk quantification for cryptocurrency assets
Tzagkarakis, George
;
Maurer, Frantz
- In:
Computational economics
62
(
2023
)
3
,
pp. 1251-1286
Persistent link: https://www.econbiz.de/10014382906
Saved in:
6
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
7
Risk-constrained Kelly portfolios under alpha-stable laws
Wesselhöfft, Niels
;
Härdle, Wolfgang
- In:
Computational economics
55
(
2020
)
3
,
pp. 801-826
Persistent link: https://www.econbiz.de/10012223676
Saved in:
8
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios
;
Loukeris, Nikolaos
;
Eleftheriadis, …
- In:
Computational economics
53
(
2019
)
2
,
pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
Saved in:
9
Integrated portfolio risk measure : estimation and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
10
Efficient simulation of value-at-risk under a jump diffusion model : a new method for moderate deviation events
Fuh, Cheng-Der
;
Teng, Huei-Wen
;
Wang, Ren-Her
- In:
Computational economics
51
(
2018
)
4
,
pp. 973-990
Persistent link: https://www.econbiz.de/10011972209
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