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~isPartOf:"Applied economics"
~isPartOf:"Journal of risk"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Measurement"
~subject:"Multivariate distribution"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
Estimation
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Risikomaß
176
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176
Portfolio selection
77
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77
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64
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64
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54
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54
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Blazsek, Szabolcs
3
Tiwari, Aviral Kumar
3
Barbi, Massimiliano
2
Berger, Theo
2
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Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
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Long, Huaigang
2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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Applied economics
Journal of risk
Insurance / Mathematics & economics
130
Journal of banking & finance
67
Finance research letters
57
Risks : open access journal
48
Energy economics
45
The North American journal of economics and finance : a journal of financial economics studies
43
Economic modelling
40
International review of financial analysis
39
European journal of operational research : EJOR
38
International journal of forecasting
33
Journal of empirical finance
33
Journal of risk and financial management : JRFM
33
The journal of risk model validation
32
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29
International review of economics & finance : IREF
24
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24
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20
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19
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18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Mathematics and financial economics
18
Applied economics letters
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Journal of international financial markets, institutions & money
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Research paper series / Swiss Finance Institute
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Journal of financial econometrics
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of mathematical finance
15
SFB 649 discussion paper
15
The European journal of finance
15
Journal of economic dynamics & control
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Pacific-Basin finance journal
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ECONIS (ZBW)
98
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1
International commodity-market tail risk and stock volatility
Zhong, Juandan
;
Long, Huaigang
;
Ma, Feng
;
Wang, Jiqian
- In:
Applied economics
55
(
2023
)
49
,
pp. 5790-5799
Persistent link: https://www.econbiz.de/10014335790
Saved in:
2
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
3
A theory for combinations of risk measures
Righi, Marcelo Brutti
- In:
Journal of risk
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014314623
Saved in:
4
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
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5
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
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6
A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo
- In:
Applied economics
55
(
2023
)
4
,
pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
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7
An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai
;
Zhang, Fengtong
;
Liu, Xinyu
- In:
Journal of risk
25
(
2023
)
6
,
pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
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8
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
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9
A gradient boosting approach to estimating tail risk interconnectedness
Long, Yunshen
;
Zeng, LinQing
;
Wang, Jing
;
Long, Xingchen
; …
- In:
Applied economics
54
(
2022
)
8
,
pp. 862-879
Persistent link: https://www.econbiz.de/10012874756
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10
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
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