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subject:"ARCH model"
~isPartOf:"Finance research letters"
~subject:"Statistical distribution"
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Search: subject_exact:"Value at risk"
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ARCH model
Statistical distribution
Risikomaß
107
Risk measure
107
Portfolio selection
44
Portfolio-Management
44
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40
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40
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35
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35
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32
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Haugom, Erik
2
Huang, Zhuo
2
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2
Lönnbark, Carl
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Tang, Yusui
2
Zhong, Juandan
2
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1
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1
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1
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Finance research letters
Insurance / Mathematics & economics
82
Journal of banking & finance
48
International journal of forecasting
40
Journal of risk
36
Energy economics
34
Journal of empirical finance
33
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32
Applied economics
30
The North American journal of economics and finance : a journal of financial economics studies
30
Risks : open access journal
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The journal of risk model validation
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International review of financial analysis
23
Journal of econometrics
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Journal of risk and financial management : JRFM
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The journal of operational risk
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Journal of forecasting
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International review of economics & finance : IREF
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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European journal of operational research : EJOR
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Journal of international financial markets, institutions & money
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics letters
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Journal of mathematical finance
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Astin bulletin : the journal of the International Actuarial Association
9
International journal of economics and financial issues : IJEFI
8
Journal of risk management in financial institutions
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Risk management : a journal of risk, crisis and disaster
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Journal of international money and finance
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Review of quantitative finance and accounting
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Annals of financial economics
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
41
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1
The global spillovers of unconventional monetary policies on tail risks
Alonso, Irma
;
Serrano, Pedro
;
Vaello-Sebastià, Antoni
- In:
Finance research letters
59
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014445403
Saved in:
2
How useful are energy-related uncertainty for oil price volatility forecasting?
Zhang, Xiaoyun
;
Guo, Qiang
- In:
Finance research letters
60
(
2024
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014490433
Saved in:
3
Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto
;
Gómez, Fabio
; …
- In:
Finance research letters
65
(
2024
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014564284
Saved in:
4
More to cryptos than bitcoin : a GARCH modelling of heterogeneous cryptocurrencies
Fung, Kennard
;
Jeong, Jiin
;
Pereira, Javier
- In:
Finance research letters
47
(
2022
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10013457293
Saved in:
5
A value-at-risk forecastability indicator in the framework of a generalized autoregressive score with "asymmetric laplace distribution"
Dima, Bogdan
;
Dima, Ştefana Maria
;
Ioan, Roxana
- In:
Finance research letters
45
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014575518
Saved in:
6
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao
;
Huang, Zhuo
;
Liang, Fang
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
Saved in:
7
Integrating ESG risks into value-at-risk
Capelli, Paolo
;
Ielasi, Federica
;
Russo, Angeloantonio
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473247
Saved in:
8
Subjectivity in conventional tail measures : an exploratory model with "risks & biases"
Majumder, Debasish
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10014473436
Saved in:
9
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
10
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie
;
Kamal, Elham
;
Kinateder, Harald
- In:
Finance research letters
56
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014473652
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