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subject:"ARCH model"
~isPartOf:"International journal of forecasting"
~subject:"Finanzkrise"
~subject:"Statistical distribution"
~type:"article"
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ARCH model
Finanzkrise
Statistical distribution
Risikomaß
59
Risk measure
59
Forecasting model
49
Prognoseverfahren
49
Theorie
33
Theory
33
Statistische Verteilung
25
ARCH-Modell
22
Volatility
18
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18
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16
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14
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Taleb, Nassim Nicholas
3
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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International journal of forecasting
Insurance / Mathematics & economics
82
Journal of banking & finance
68
Finance research letters
42
Economic modelling
40
The North American journal of economics and finance : a journal of financial economics studies
39
Journal of risk
38
Energy economics
37
Applied economics
34
Journal of empirical finance
33
Risks : open access journal
33
International review of financial analysis
32
The journal of risk model validation
30
Journal of risk and financial management : JRFM
27
Journal of econometrics
26
International review of economics & finance : IREF
24
Journal of forecasting
21
The journal of operational risk
21
Journal of international financial markets, institutions & money
19
Quantitative finance
19
Research in international business and finance
19
Computational economics
17
The European journal of finance
17
Applied economics letters
16
Journal of financial econometrics
16
Pacific-Basin finance journal
16
European journal of operational research : EJOR
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of risk management in financial institutions
12
Journal of mathematical finance
11
Risk management : a journal of risk, crisis and disaster
11
Astin bulletin : the journal of the International Actuarial Association
10
Journal of economic dynamics & control
10
Journal of international money and finance
10
The journal of asset management
9
International journal of finance & economics : IJFE
8
International journal of theoretical and applied finance
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ECONIS (ZBW)
40
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
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:
3
Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach
Lin, Weidong
;
Taamouti, Abderrahim
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 1179-1188
Persistent link: https://www.econbiz.de/10014547268
Saved in:
4
Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
5
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
6
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
7
Observation-driven models for realized variances and overnight returns applied to value-at-risk and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
8
On single point forecasts for fat-tailed variables
Taleb, Nassim Nicholas
;
Bar-Yam, Yaneer
;
Cirillo, Pasquale
- In:
International journal of forecasting
38
(
2022
)
2
,
pp. 413-422
Persistent link: https://www.econbiz.de/10013348601
Saved in:
9
Evaluating quantile forecasts in the M5 uncertainty competition
Chen, Zhi
;
Gaba, Anil
;
Tsetlin, Ilia
;
Winkler, Robert L.
- In:
International journal of forecasting
38
(
2022
)
4
,
pp. 1531-1545
Persistent link: https://www.econbiz.de/10014381153
Saved in:
10
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
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