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subject:"ARCH model"
~isPartOf:"International review of financial analysis"
~subject:"Statistical distribution"
~subject:"Volatilität"
~type:"article"
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Search: subject_exact:"Value at risk"
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ARCH model
Statistical distribution
Volatilität
Risikomaß
69
Risk measure
69
Portfolio selection
28
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28
Theorie
28
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28
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31
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Degiannakis, Stavros
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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International review of financial analysis
Insurance / Mathematics & economics
82
Journal of banking & finance
57
Energy economics
48
International journal of forecasting
43
The North American journal of economics and finance : a journal of financial economics studies
42
Finance research letters
41
Journal of risk
41
Journal of empirical finance
36
Economic modelling
35
Applied economics
34
Risks : open access journal
31
The journal of risk model validation
30
Journal of risk and financial management : JRFM
27
Journal of econometrics
24
International review of economics & finance : IREF
22
Journal of forecasting
21
The journal of operational risk
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Quantitative finance
18
Computational economics
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The European journal of finance
17
Journal of financial econometrics
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Journal of international financial markets, institutions & money
15
Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
European journal of operational research : EJOR
14
Pacific-Basin finance journal
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of mathematical finance
13
Scandinavian actuarial journal
13
Applied economics letters
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of theoretical and applied finance
9
Journal of risk management in financial institutions
9
International journal of economics and financial issues : IJEFI
8
International journal of finance & economics : IJFE
8
Journal of international money and finance
8
Review of quantitative finance and accounting
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Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
31
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
2
Left-tail momentum and tail properties of return distributions : a case of Korea
Eom, Cheoljun
;
Eom, Yunsung
;
Park, Jong Won
- In:
International review of financial analysis
87
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014457498
Saved in:
3
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
4
Nonparametric inference of expectile-based value-at-risk for financial time series with application to risk assessment
Zhang, Feipeng
;
Xu, Yixiong
;
Fan, Caiyun
- In:
International review of financial analysis
90
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014469910
Saved in:
5
Where is the distribution tail threshold? : a tale on tail and copulas in financial risk measurement
González Sánchez, Mariano
;
Nave Pineda, Juan M.
- In:
International review of financial analysis
86
(
2023
),
pp. 1-12
Persistent link: https://www.econbiz.de/10014248319
Saved in:
6
An empirical investigation of multiperiod tail risk forecasting models
Zhang, Ning
;
Su, Xiaoman
;
Qi, Shuyuan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014248332
Saved in:
7
Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries : a VAR quantile analysis
Massaporn Cheuathonghua
;
DeBoyrie, Maria Eugenia
; …
- In:
International review of financial analysis
80
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013366188
Saved in:
8
Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution
Song, Shijia
;
Li, Handong
- In:
International review of financial analysis
82
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013426497
Saved in:
9
Measuring systemic risk contribution of global stock markets : a dynamic tail risk network approach
Wang, Ze
;
Gao, Xiangyun
;
Huang, Shupei
;
Sun, Qingru
; …
- In:
International review of financial analysis
84
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013472796
Saved in:
10
Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Wang, Lu
;
Ma, Feng
;
Hao, Jianyang
;
Gao, Xinxin
- In:
International review of financial analysis
76
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012804675
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