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subject:"ARCH model"
~isPartOf:"Journal of international financial markets, institutions & money"
~isPartOf:"Quantitative finance"
~subject:"Finanzkrise"
~subject:"Statistical distribution"
~type:"article"
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Search: subject_exact:"Value at risk"
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ARCH model
Finanzkrise
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Risikomaß
86
Risk measure
86
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50
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48
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48
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Gerlach, Richard
3
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2
Linh Hoang Nguyen
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Novales, Alfonso
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Wang, Chao
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1
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Journal of international financial markets, institutions & money
Quantitative finance
Insurance / Mathematics & economics
82
Journal of banking & finance
68
Finance research letters
44
Economic modelling
40
International journal of forecasting
40
The North American journal of economics and finance : a journal of financial economics studies
39
Journal of risk
38
Energy economics
37
Applied economics
34
Journal of empirical finance
33
Risks : open access journal
33
International review of financial analysis
32
The journal of risk model validation
30
Journal of risk and financial management : JRFM
27
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International review of economics & finance : IREF
24
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21
The journal of operational risk
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Research in international business and finance
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Pacific-Basin finance journal
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The European journal of finance
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European journal of operational research : EJOR
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of risk management in financial institutions
12
Journal of mathematical finance
11
Risk management : a journal of risk, crisis and disaster
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Astin bulletin : the journal of the International Actuarial Association
10
Journal of economic dynamics & control
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Journal of international money and finance
10
The journal of asset management
9
International journal of finance & economics : IJFE
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International journal of theoretical and applied finance
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ECONIS (ZBW)
38
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1
f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
2
Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
3
GARCH-UGH : a bias-reduced approach for dynamic extreme Value-at-Risk estimation in financial time series
Kaibuchi, Hibiki
;
Kawasaki, Yoshinori
;
Stupfler, G.
- In:
Quantitative finance
22
(
2022
)
7
,
pp. 1277-1294
Persistent link: https://www.econbiz.de/10013367899
Saved in:
4
International stock market volatility : a global tail risk sight
Lu, Xinjie
;
Zeng, Qing
;
Zhong, Juandan
;
Zhu, Bo
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
Saved in:
5
Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik
;
Hacini, Mehdi-Vincent
;
Somefun, Koye
- In:
Quantitative finance
24
(
2024
)
1
,
pp. 83-104
Persistent link: https://www.econbiz.de/10014551942
Saved in:
6
Dynamic currency hedging with non-Gaussianity and ambiguity
Polak, Pawel
;
Ulrych, Urban
- In:
Quantitative finance
24
(
2024
)
2
,
pp. 305-327
Persistent link: https://www.econbiz.de/10014551995
Saved in:
7
Dynamic quantile function models
Chen, Wilson Ye
;
Peters, Gareth
;
Gerlach, Richard H.
; …
- In:
Quantitative finance
22
(
2022
)
9
,
pp. 1665-1691
Persistent link: https://www.econbiz.de/10013367940
Saved in:
8
Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets
Dai, Yun-Shi
;
Dai, Peng-Fei
;
Zhou, Wei-Xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014482970
Saved in:
9
Do world stock markets "jump" together? : a measure of high-frequency volatility risk spillover networks
Zhou, Dong-hai
;
Liu, Xiao-xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014483183
Saved in:
10
Average tail risk and aggregate stock returns
Dai, Yingtong
;
Harris, Richard D. F.
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014245903
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