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subject:"ARCH model"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Statistical distribution"
~type:"article"
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Search: subject_exact:"Value at risk"
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ARCH model
Statistical distribution
Risikomaß
36
Risk measure
36
Forecasting model
17
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17
Theorie
13
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13
Estimation
11
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11
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tail risk
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Almeida, Caio
3
Ardison, Kym
3
Garcia, René
3
Vicente, Jose
3
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2
Olmo, Jose
2
Schaumburg, Ernst
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1
Bali, Turan G.
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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
Research in international business and finance
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Computational economics
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The European journal of finance
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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
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International journal of finance & economics : IJFE
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1
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
Saved in:
2
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
3
Semi-parametric conditional quantile models for financial returns and realized volatility
Zikes, Filip
;
Barunik, Jozef
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 185-226
Persistent link: https://www.econbiz.de/10011588557
Saved in:
4
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
5
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
6
Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
Saved in:
7
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
8
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
9
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
10
Bayesian expected shortfall forecasting incorporating the intraday range
Gerlach, Richard
;
Chen, Cathy W. S.
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
1
,
pp. 128-158
Persistent link: https://www.econbiz.de/10011588546
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