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subject:"ARCH model"
~isPartOf:"Journal of forecasting"
~isPartOf:"Journal of mathematical finance"
~subject:"Statistical distribution"
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ARCH model
Statistical distribution
Risikomaß
68
Risk measure
68
Forecasting model
35
Prognoseverfahren
35
Theorie
34
Theory
34
ARCH-Modell
21
Portfolio selection
21
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expected shortfall
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value at risk
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Omari, Cyprian Ondieki
3
Chen, Cathy W. S.
2
Gerlach, Richard
2
Lin, Edward M. H.
2
Mwita, Peter N.
2
Wang, Chao
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1
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Journal of forecasting
Journal of mathematical finance
Insurance / Mathematics & economics
82
Journal of banking & finance
48
Finance research letters
41
International journal of forecasting
40
Journal of risk
36
Energy economics
34
Journal of empirical finance
33
Economic modelling
32
Applied economics
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
29
International review of financial analysis
23
Journal of econometrics
23
Journal of risk and financial management : JRFM
23
The journal of operational risk
20
Quantitative finance
19
International review of economics & finance : IREF
17
Computational economics
15
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Research in international business and finance
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The European journal of finance
14
Pacific-Basin finance journal
13
Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
European journal of operational research : EJOR
12
Journal of international financial markets, institutions & money
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Applied economics letters
10
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
8
Risk management : a journal of risk, crisis and disaster
8
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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ECONIS (ZBW)
28
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
3
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
4
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
5
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
6
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
7
A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies
Trucíos, Carlos
;
Taylor, James W.
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 989-1007
Persistent link: https://www.econbiz.de/10014292894
Saved in:
8
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
9
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
10
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
Saved in:
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