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subject:"ARCH model"
~isPartOf:"Journal of forecasting"
~subject:"Markov-Kette"
~subject:"Statistical distribution"
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ARCH model
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Risikomaß
42
Risk measure
42
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33
Prognoseverfahren
33
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20
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20
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Chen, Cathy W. S.
2
Gerlach, Richard
2
Lin, Edward M. H.
2
Wang, Chao
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1
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1
Chong, James
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Da Veiga, Bernardo
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Journal of forecasting
Insurance / Mathematics & economics
82
Journal of banking & finance
48
Finance research letters
42
International journal of forecasting
41
Journal of risk
36
Energy economics
35
Economic modelling
33
Journal of empirical finance
33
Risks : open access journal
32
The North American journal of economics and finance : a journal of financial economics studies
32
Applied economics
30
The journal of risk model validation
29
International review of financial analysis
24
Journal of econometrics
24
Journal of risk and financial management : JRFM
23
Quantitative finance
21
The journal of operational risk
20
European journal of operational research : EJOR
17
International review of economics & finance : IREF
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Journal of financial econometrics
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Computational economics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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Scandinavian actuarial journal
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Journal of mathematical finance
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
Operations research letters
8
Risk management : a journal of risk, crisis and disaster
8
Journal of international money and finance
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Review of quantitative finance and accounting
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Annals of financial economics
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ECONIS (ZBW)
19
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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 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:
9
The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Louzis, Dimitrios P.
;
Xanthopoulos-Sisinis, Spyros
; …
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 561-576
Persistent link: https://www.econbiz.de/10009789559
Saved in:
10
Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard
;
Lu, Zu-di
;
Huang, Hai
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
Saved in:
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