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~isPartOf:"Applied economics"
~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~subject:"ARCH-Modell"
~subject:"Basel Accord"
~subject:"Measurement"
~subject:"Messung"
~subject:"Multivariate Verteilung"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
Basel Accord
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Multivariate Verteilung
Risikomaß
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Risk measure
76
Theorie
42
Theory
42
Portfolio selection
27
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Blazsek, Szabolcs
3
Tiwari, Aviral Kumar
3
Barbi, Massimiliano
2
Furman, Edward
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
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Monteros, Luis Antonio
2
Romagnoli, Silvia
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1
Afonso, Lourdes B.
1
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Applied economics
Astin bulletin : the journal of the International Actuarial Association
Insurance / Mathematics & economics
133
Journal of banking & finance
68
Journal of risk
58
Risks : open access journal
50
Finance research letters
44
Energy economics
40
European journal of operational research : EJOR
39
The North American journal of economics and finance : a journal of financial economics studies
39
Economic modelling
36
International review of financial analysis
33
The journal of risk model validation
32
Journal of risk and financial management : JRFM
30
Journal of empirical finance
29
International journal of forecasting
26
Quantitative finance
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Discussion paper / Tinbergen Institute
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International journal of theoretical and applied finance
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Finance and stochastics
18
Journal of international financial markets, institutions & money
18
Mathematics and financial economics
17
Journal of risk management in financial institutions
16
Scandinavian actuarial journal
16
The European journal of finance
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Applied economics letters
15
Journal of econometrics
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of financial econometrics
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
41
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1
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
2
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
3
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
4
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
5
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
6
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
7
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
8
Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
He, Chaohua
;
Li, Guangchen
;
Fan, Hai
;
Wei, Weixian
- In:
Applied economics
53
(
2021
)
11
,
pp. 1249-1263
Persistent link: https://www.econbiz.de/10012485170
Saved in:
9
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
10
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
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