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~isPartOf:"Applied economics"
~subject:"ARCH-Modell"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
~subject:"Risiko"
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ARCH-Modell
Credit risk
Multivariate Verteilung
Prognoseverfahren
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53
Risk measure
53
Theorie
23
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Blazsek, Szabolcs
3
Tiwari, Aviral Kumar
3
Barbi, Massimiliano
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Long, Huaigang
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Romagnoli, Silvia
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1
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Applied economics
Insurance / Mathematics & economics
145
Journal of banking & finance
101
Risks : open access journal
75
European journal of operational research : EJOR
65
Finance research letters
62
Journal of risk
61
Economic modelling
51
Energy economics
51
International journal of forecasting
51
The North American journal of economics and finance : a journal of financial economics studies
47
International review of financial analysis
45
Quantitative finance
42
Journal of empirical finance
41
Discussion paper / Tinbergen Institute
39
The journal of risk model validation
38
Journal of forecasting
35
Journal of risk and financial management : JRFM
35
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
International review of economics & finance : IREF
26
The European journal of finance
25
International journal of theoretical and applied finance
24
Research paper series / Swiss Finance Institute
24
Computational economics
23
Finance and stochastics
23
Journal of risk management in financial institutions
23
Journal of econometrics
22
Journal of international financial markets, institutions & money
22
Mathematics of operations research
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Working papers
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Journal of financial econometrics
21
Pacific-Basin finance journal
21
Scandinavian actuarial journal
21
Research in international business and finance
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SFB 649 discussion paper
20
The journal of credit risk : published quarterly by Incisive Media
20
Applied economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of mathematical finance
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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
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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3
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
Saved in:
4
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
Saved in:
5
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
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6
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
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7
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:
8
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:
9
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:
10
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
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