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~isPartOf:"Applied economics"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
~subject:"Risiko"
~subject:"Schätzung"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risiko
Schätzung
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH model
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Blazsek, Szabolcs
3
Barbi, Massimiliano
2
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Long, Huaigang
2
Monteros, Luis Antonio
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Romagnoli, Silvia
2
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Applied economics
Insurance / Mathematics & economics
148
Journal of banking & finance
92
Risks : open access journal
77
European journal of operational research : EJOR
64
Finance research letters
60
Journal of risk
60
International journal of forecasting
50
The North American journal of economics and finance : a journal of financial economics studies
43
Economic modelling
42
Energy economics
42
International review of financial analysis
42
Quantitative finance
42
Discussion paper / Tinbergen Institute
39
The journal of risk model validation
37
Journal of forecasting
34
Journal of risk and financial management : JRFM
33
Journal of empirical finance
31
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
Computational economics
26
International journal of theoretical and applied finance
25
International review of economics & finance : IREF
25
Journal of econometrics
24
The European journal of finance
24
Finance and stochastics
23
Journal of risk management in financial institutions
22
Mathematics of operations research
22
SFB 649 discussion paper
22
Journal of financial econometrics
21
Journal of international financial markets, institutions & money
21
Research paper series / Swiss Finance Institute
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Pacific-Basin finance journal
20
Research in international business and finance
20
Scandinavian actuarial journal
20
The journal of credit risk : published quarterly by Incisive Media
20
Working papers
20
Applied economics letters
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Journal of economic dynamics & control
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ECONIS (ZBW)
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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
Saved in:
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
Saved in:
7
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:
8
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:
9
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:
10
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
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