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subject:"Bankenaufsicht"
subject:"Bankrisiko"
~person:"Benito Muela, Sonia"
~subject:"Estimation"
~subject:"Financial crisis"
~subject:"Theorie"
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Bankenaufsicht
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ARCH model
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generalized autoregressive conditional heteroscedasticity (GARCH) model
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Benito Muela, Sonia
Broll, Udo
38
Schuermann, Til
29
Dionne, Georges
27
McAleer, Michael
24
Daníelsson, Jón
22
Eller, Roland
22
Fabozzi, Frank J.
22
Rudolph, Bernd
22
Wang, Ruodu
22
Gatzert, Nadine
21
Saunders, Anthony
21
Stulz, René M.
20
Embrechts, Paul
19
Stoja, Evarist
18
Wiedemann, Arnd
17
Curti, Filippo
16
Migueis, Marco
16
Diebold, Francis X.
15
Härdle, Wolfgang
15
Pelizzon, Loriana
15
Rochet, Jean-Charles
15
Acharya, Viral V.
14
Boonen, Tim J.
14
Li, Jianping
14
Merton, Robert C.
14
Ratnovski, Lev
14
Schierenbeck, Henner
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Summer, Martin
14
Vries, Casper G. de
14
Christoffersen, Peter F.
13
Engle, Robert F.
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Grundke, Peter
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Peters, Gareth
13
Schäfer, Klaus
13
Tan, Ken Seng
13
Wahl, Jack E.
13
Entrop, Oliver
12
Mao, Tiantian
12
Mihov, Atanas
12
Shevchenko, Pavel V.
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Journal of contemporary management : JMC
1
Journal of risk
1
The journal of risk model validation
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ECONIS (ZBW)
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Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
2
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
Saved in:
3
The role of the loss function in value-at-risk comparisons
Abad, Pilar
;
Benito Muela, Sonia
;
López Martin, Carmen
- In:
The journal of risk model validation
9
(
2015
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
Saved in:
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