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subject:"Risk measure"
~isPartOf:"CORE discussion papers : DP"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
ARCH model
69
ARCH-Modell
69
Volatility
39
Volatilität
39
Theorie
28
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28
Capital income
22
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20
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realized volatility
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Bauwens, Luc
2
Bee, Marco
1
Ben Omrane, Walid
1
Braione, Manuela
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Carpantier, Jean-François
1
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1
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1
Grønneberg, Steffen
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1
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1
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1
Lu, Jin
1
Pelletier, Denis
1
Peng, Shige
1
Rengifo, Erick W.
1
Scholtes, Nicolas K.
1
Shin, Yongcheol
1
Stander, Julian
1
Storti, G.
1
Sucarrat, Genaro
1
Trapin, Luca
1
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Yao, Jianfeng
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CORE discussion papers : DP
Journal of financial econometrics
Energy economics
28
Finance research letters
27
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Journal of risk
23
International journal of forecasting
22
Economic modelling
21
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
16
Journal of risk and financial management : JRFM
16
Working papers
15
Journal of forecasting
14
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
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7
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7
Risk management : a journal of risk, crisis and disaster
7
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Review of quantitative finance and accounting
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1
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
2
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
3
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
4
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
5
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
6
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
7
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Saved in:
8
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
9
Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework
Braione, Manuela
;
Scholtes, Nicolas K.
-
2014
Persistent link: https://www.econbiz.de/10010484186
Saved in:
10
Commodities inventory effect
Carpantier, Jean-François
-
2010
Persistent link: https://www.econbiz.de/10008649479
Saved in:
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