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subject:"ARCH model"
~isPartOf:"Journal of forecasting"
~subject:"Estimation"
~subject:"Statistical distribution"
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Search: subject_exact:"Value at risk"
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ARCH model
Estimation
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Risikomaß
42
Risk measure
42
Forecasting model
33
Prognoseverfahren
33
Theorie
20
Theory
20
ARCH-Modell
14
Portfolio selection
11
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expected shortfall
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value at risk
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22
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Chen, Cathy W. S.
3
Gerlach, Richard
3
Lin, Edward M. H.
3
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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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Journal of forecasting
Insurance / Mathematics & economics
83
Journal of banking & finance
64
Finance research letters
54
Journal of risk
51
International journal of forecasting
46
Energy economics
43
Economic modelling
40
Journal of empirical finance
38
The North American journal of economics and finance : a journal of financial economics studies
37
Applied economics
35
International review of financial analysis
33
Risks : open access journal
33
The journal of risk model validation
33
Journal of risk and financial management : JRFM
27
Journal of econometrics
26
Quantitative finance
22
International review of economics & finance : IREF
20
The journal of operational risk
20
Computational economics
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Journal of financial econometrics
19
Research in international business and finance
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
European journal of operational research : EJOR
15
Journal of international financial markets, institutions & money
15
Pacific-Basin finance journal
15
The European journal of finance
14
Scandinavian actuarial journal
13
Applied economics letters
12
Journal of mathematical finance
12
Journal of economic dynamics & control
10
Journal of international money and finance
10
Astin bulletin : the journal of the International Actuarial Association
9
Journal of risk management in financial institutions
9
Review of quantitative finance and accounting
9
Economics letters
8
International journal of economics and financial issues : IJEFI
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International journal of theoretical and applied finance
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ECONIS (ZBW)
22
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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
Forecasting expected shortfall and value at risk with a joint elicitable mixed data sampling model
Xu, Qifa
;
Chen, Lu
;
Jiang, Cuixia
;
Liu, Yezheng
- In:
Journal of forecasting
41
(
2022
)
3
,
pp. 407-421
Persistent link: https://www.econbiz.de/10013166148
Saved in:
9
Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard
;
Chen, Cathy W. S.
;
Lin, Edward M. H.
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
Saved in:
10
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
Saved in:
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