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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"The journal of risk model validation"
~source:"econis"
~subject:"Statistical distribution"
~type_genre:"Conference paper"
~type_genre:"Thesis"
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Search: subject_exact:"Estimation theory"
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Volatility
Statistical distribution
Estimation theory
15
Schätztheorie
15
Risikomaß
9
Risk measure
9
Estimation
7
Schätzung
7
ARCH model
5
ARCH-Modell
5
Credit risk
5
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5
Volatilität
5
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3
Risikomanagement
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Risk management
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value-at-risk (VaR)
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Regressionsanalyse
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extreme value theory (EVT)
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generalized autoregressive conditional heteroscedasticity (GARCH)
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2004-2005
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Aktienindex
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Australien
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Biljon, L. van
1
Buczy´nski, Mateusz
1
Chlebus, Marcin
1
Curcic, Nikola
1
Fałdziński, Marcin
1
Georgiopoulos, Nick
1
Gómez-Déniz, E.
1
Haasbroek, L. J.
1
Law, Keith K. F.
1
Li, Wai Keung
1
Miletic, Vuk
1
Milojkovic, Dragana
1
Murphy, David
1
Osińska, Magdalena
1
Panman, Kevin
1
Pérez Sánchez, J. M.
1
Radivojevic, Nikola
1
Schutte, W. D.
1
Verster, Tanja
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Yu, Philip L. H.
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The journal of risk model validation
Journal of econometrics
165
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
64
Economics letters
46
Insurance / Mathematics & economics
44
Econometric reviews
41
Econometric theory
38
The econometrics journal
26
Journal of empirical finance
25
Statistics in transition : an international journal of the Polish Statistical Association
24
International journal of forecasting
23
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
22
Econometrics : open access journal
19
Economic modelling
19
Journal of financial econometrics
19
Journal of the American Statistical Association : JASA
19
Journal of banking & finance
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Finance research letters
17
Journal of risk and financial management : JRFM
17
Quantitative finance
17
European journal of operational research : EJOR
15
International journal of theoretical and applied finance
15
Journal of forecasting
15
Applied economics
13
Computational economics
13
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
13
Journal of mathematical finance
13
Risks : open access journal
13
Journal of risk
12
Statistical papers
12
The North American journal of economics and finance : a journal of financial economics studies
12
Applied economics letters
10
Finance and stochastics
9
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
8
International journal of economics and financial issues : IJEFI
8
The European journal of finance
8
Astin bulletin : the journal of the International Actuarial Association
7
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International journal of financial engineering
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ECONIS (ZBW)
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
3
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
4
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
5
Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin
;
Biljon, L. van
;
Haasbroek, L. J.
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
Saved in:
6
The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick
- In:
The journal of risk model validation
11
(
2017
)
3
,
pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
Saved in:
7
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
8
On modeling zero-inflated insurance data
Pérez Sánchez, J. M.
;
Gómez-Déniz, E.
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 23-37
Persistent link: https://www.econbiz.de/10011587710
Saved in:
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