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subject:"ARCH model"
~isPartOf:"Research in international business and finance"
~subject:"Statistical distribution"
~type:"article"
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Search: subject_exact:"Value at risk"
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ARCH model
Statistical distribution
Risikomaß
35
Risk measure
35
Portfolio selection
16
Portfolio-Management
16
Capital income
12
Kapitaleinkommen
12
ARCH-Modell
11
Estimation
10
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15
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Gozgor, Giray
2
Trabelsi, Nader
2
Aboura, Sofiane
1
Al Rababa'a, Abdel Razzaq
1
Alomari, Mohammad
1
Boukef Jlassi, Nabila
1
Chan, Stephen
1
Chevallier, Julien
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Choi, Sun-Yong
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Chu, Jeffrey
1
Degiannakis, Stavros
1
Echaust, Krzysztof
1
Floros, Christos
1
Hammoudeh, Shawkat
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1
Jeribi, Ahmed
1
Jiang, Kunliang
1
Just, Małgorzata
1
Karagozoglu, Ahmet K.
1
Klein, Tony
1
Kurita, Takamitsu
1
Lahiani, Amine
1
Lau, Chi Keung
1
Liu, Wei
1
Liu, Yimeng
1
McMillan, David G.
1
Nadarajah, Saralees
1
Naifar, Nader
1
Piontek, Krzysztof
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Rice, John
1
Semeyutin, Artur
1
Song, Jiashan
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Tan, Zhengxun
1
Thu, Hien Pham
1
Tiwari, Aviral Kumar
1
Umar, Zaghum
1
Usman, Muhammad
1
Walther, Thomas
1
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1
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Research in international business and finance
Insurance / Mathematics & economics
82
Journal of banking & finance
48
Finance research letters
41
International journal of forecasting
40
Journal of risk
36
Energy economics
34
Journal of empirical finance
33
Economic modelling
32
Applied economics
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
29
International review of financial analysis
23
Journal of econometrics
23
Journal of risk and financial management : JRFM
23
The journal of operational risk
20
Quantitative finance
19
Journal of forecasting
18
International review of economics & finance : IREF
17
Computational economics
15
Journal of financial econometrics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
The European journal of finance
14
Pacific-Basin finance journal
13
Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
European journal of operational research : EJOR
12
Journal of international financial markets, institutions & money
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
International journal of economics and financial issues : IJEFI
8
Journal of risk management in financial institutions
8
Risk management : a journal of risk, crisis and disaster
8
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)
15
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1
Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model
Jiang, Kunliang
;
Zeng, Linhui
;
Song, Jiashan
;
Liu, Yimeng
- In:
Research in international business and finance
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014240057
Saved in:
2
Diversification benefits of NFTs for conventional asset investors : evidence from CoVaR with higher moments and optimal hedge ratios
Umar, Zaghum
;
Usman, Muhammad
;
Choi, Sun-Yong
;
Rice, John
- In:
Research in international business and finance
65
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014432749
Saved in:
3
Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq
;
Alomari, Mohammad
;
McMillan, …
- In:
Research in international business and finance
58
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
Saved in:
4
Is gold still a safe haven for stock markets? : new insights through the tail thickness of portfolio return distributions
Echaust, Krzysztof
;
Just, Małgorzata
- In:
Research in international business and finance
63
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248962
Saved in:
5
An extreme value analysis of the tail relationships between returns and volumes for high frequency cryptocurrencies
Chan, Stephen
;
Chu, Jeffrey
;
Zhang, Yuanyuan
; …
- In:
Research in international business and finance
59
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013402146
Saved in:
6
Forecasting value-at-risk of cryptocurrencies with riskmetrics type models
Liu, Wei
;
Semeyutin, Artur
;
Lau, Chi Keung
;
Gozgor, Giray
- In:
Research in international business and finance
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
Saved in:
7
Nonlinear tail dependence in cryptocurrency-stock market returns : the role of Bitcoin futures
Lahiani, Amine
;
Jeribi, Ahmed
;
Boukef Jlassi, Nabila
- In:
Research in international business and finance
56
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013266088
Saved in:
8
Value at risk and returns of cryptocurrencies before and after the crash : long-run relations and fractional cointegration
Tan, Zhengxun
;
Huang, Yilong
;
Xiao, Binuo
- In:
Research in international business and finance
56
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013266119
Saved in:
9
Effects of price of gold on Bombay stock exchange sectoral indices : new evidence for portfolio risk management
Trabelsi, Nader
;
Gozgor, Giray
;
Tiwari, Aviral Kumar
; …
- In:
Research in international business and finance
55
(
2021
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013264668
Saved in:
10
True or spurious long memory in European non-EMU currencies
Walther, Thomas
;
Klein, Tony
;
Thu, Hien Pham
;
Piontek, …
- In:
Research in international business and finance
40
(
2017
),
pp. 217-230
Persistent link: https://www.econbiz.de/10011912762
Saved in:
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