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subject:"ARCH model"
~isPartOf:"Journal of forecasting"
~subject:"Statistical distribution"
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ARCH model
Statistical distribution
Risikomaß
42
Risk measure
42
Forecasting model
33
Prognoseverfahren
33
Theorie
20
Theory
20
ARCH-Modell
14
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11
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expected shortfall
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value at risk
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18
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18
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Chen, Cathy W. S.
2
Gerlach, Richard
2
Lin, Edward M. H.
2
Wang, Chao
2
Cheng, Wai-yan
1
Cheng, Yihan
1
Chong, James
1
Da Veiga, Bernardo
1
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Journal of forecasting
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
Quantitative finance
17
International review of economics & finance : IREF
16
Journal of financial econometrics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Research in international business and finance
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Computational economics
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Scandinavian actuarial journal
13
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
6
International journal of finance & economics : IJFE
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ECONIS (ZBW)
18
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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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