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subject:"ARCH model"
~isPartOf:"Journal of forecasting"
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Search: subject_exact:"Value at risk"
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ARCH model
Risikomaß
42
Risk measure
42
Forecasting model
33
Prognoseverfahren
33
Theorie
20
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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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Chen, Cathy W. S.
2
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Journal of forecasting
Energy economics
29
Finance research letters
29
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Journal of risk
23
Economic modelling
22
International journal of forecasting
22
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
16
Journal of risk and financial management : JRFM
16
International review of economics & finance : IREF
12
Journal of econometrics
11
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Journal of international financial markets, institutions & money
9
The European journal of finance
9
Computational economics
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Quantitative finance
8
Risks : open access journal
8
Applied economics letters
7
Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Risk management : a journal of risk, crisis and disaster
7
Review of quantitative finance and accounting
6
Annals of financial economics
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
Emerging markets review
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
4
Financial markets and portfolio management
4
International Journal of Financial Studies : open access journal
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International journal of economics and finance
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International journal of finance & economics : IJFE
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
14
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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
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:
3
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:
4
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:
5
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:
6
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:
7
Forecasting volatility with many predictors
Ke, Tsung-han
;
Hu, Yu-pin
- In:
Journal of forecasting
32
(
2013
)
8
,
pp. 743-754
Persistent link: https://www.econbiz.de/10010344461
Saved in:
8
A study of value-at-risk based on M-estimators of the conditional heteroscedastic models
Iqbal, Farhat
;
Mukherjee, Kanchan
- In:
Journal of forecasting
31
(
2012
)
5
,
pp. 377-390
Persistent link: https://www.econbiz.de/10009582118
Saved in:
9
Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
Saved in:
10
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
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