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subject:"Prognoseverfahren"
~accessRights:"restricted"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Aggregation"
~subject:"Nichtparametrisches Verfahren"
~subject:"Outliers"
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Prognoseverfahren
Aggregation
Nichtparametrisches Verfahren
Outliers
Statistical distribution
8
Statistische Verteilung
8
Risikomaß
7
Risk measure
7
Forecasting model
6
Capital income
4
Estimation
4
Kapitaleinkommen
4
Schätzung
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tail risk
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Ausreißer
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Capital market returns
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Kapitalmarktrendite
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Risiko
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Risikoprämie
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Risk
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Risk premium
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Theorie
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Theory
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risk-neutral probability
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Börsenkurs
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Multivariate Verteilung
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Multivariate distribution
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Share price
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economic predictability
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prediction of market returns
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return predictability
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risk factor
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ARCH model
1
ARCH-Modell
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Estimation theory
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Financial crisis
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Finanzkrise
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Lévy processes
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English
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Almeida, Caio
3
Ardison, Kym
3
Garcia, René
3
Vicente, Jose
3
Dobrev, Dobrislav
2
Schaumburg, Ernst
2
Bali, Turan G.
1
Bormann, Carsten
1
Camponovo, Lorenzo
1
Dijk, Dick van
1
Eckernkemper, Tobias
1
Jacobs, Kris
1
Kole, Erik
1
Markwat, Thijs
1
Opschoor, Anne
1
Scaillet, Olivier
1
Schaumburg, Julia
1
Schienle, Melanie
1
Trapin, Luca
1
Trojani, Fabio
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
International journal of forecasting
54
Journal of econometrics
32
Insurance / Mathematics & economics
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Applied economics
18
Finance research letters
13
Economics letters
11
Journal of banking & finance
11
Econometric reviews
10
Energy economics
10
Journal of financial econometrics
10
Journal of forecasting
10
The North American journal of economics and finance : a journal of financial economics studies
10
Computational economics
9
Economic modelling
9
Journal of applied econometrics
9
Journal of empirical finance
8
Quantitative finance
8
Applied economics letters
7
Discussion papers / CEPR
7
Journal of risk
7
Research paper series / Swiss Finance Institute
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
International review of economics & finance : IREF
6
International review of financial analysis
6
Journal of international financial markets, institutions & money
6
Journal of mathematical finance
6
Swiss Finance Institute Research Paper
6
The European journal of finance
6
The journal of operational risk
6
European journal of operational research : EJOR
5
Journal of financial economics
5
Pacific-Basin finance journal
5
Scandinavian actuarial journal
5
The econometrics journal
5
Econometric theory
4
Journal of economic dynamics & control
4
Management science : journal of the Institute for Operations Research and the Management Sciences
4
Research in international business and finance
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ECONIS (ZBW)
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1
Modeling systemic risk : time-varying tail dependence when forecasting marginal expected shortfall
Eckernkemper, Tobias
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
1
,
pp. 63-117
Persistent link: https://www.econbiz.de/10011987686
Saved in:
2
Can volatility models explain extreme events?
Trapin, Luca
- In:
Journal of financial econometrics : official journal of …
16
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011987768
Saved in:
3
Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
Saved in:
4
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav
;
Schaumburg, Ernst
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
Saved in:
5
Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
;
Vicente, Jose
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
Saved in:
6
Forecasting value-at-risk under temporal and portfolio aggregation
Kole, Erik
;
Markwat, Thijs
;
Opschoor, Anne
;
Dijk, Dick van
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
4
,
pp. 649-677
Persistent link: https://www.econbiz.de/10011987663
Saved in:
7
Beyond dimension two : a test for higher-order tail risk
Bormann, Carsten
;
Schaumburg, Julia
;
Schienle, Melanie
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 552-580
Persistent link: https://www.econbiz.de/10011623690
Saved in:
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