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~isPartOf:"Applied economics"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
~subject:"Risiko"
~type:"article"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risiko
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH model
20
ARCH-Modell
20
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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
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1
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Lee, Eun-joo
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Applied economics
Insurance / Mathematics & economics
142
Journal of banking & finance
87
Risks : open access journal
75
European journal of operational research : EJOR
65
Finance research letters
62
International journal of forecasting
53
Journal of risk
50
International review of financial analysis
41
Economic modelling
40
Quantitative finance
40
Energy economics
36
The North American journal of economics and finance : a journal of financial economics studies
34
Journal of forecasting
33
The journal of risk model validation
32
International review of economics & finance : IREF
27
Journal of empirical finance
27
Journal of risk and financial management : JRFM
27
Computational economics
25
Journal of financial econometrics : official journal of the Society for Financial Econometrics
24
The European journal of finance
24
Finance and stochastics
23
International journal of theoretical and applied finance
22
Journal of risk management in financial institutions
22
Mathematics of operations research
22
Pacific-Basin finance journal
20
Scandinavian actuarial journal
20
The journal of credit risk : published quarterly by Incisive Media
20
Journal of international financial markets, institutions & money
19
Journal of financial econometrics
18
Applied economics letters
17
Management science : journal of the Institute for Operations Research and the Management Sciences
17
Mathematics and financial economics
17
Operations research
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of economic dynamics & control
16
Journal of mathematical finance
15
Journal of econometrics
14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
Astin bulletin : the journal of the International Actuarial Association
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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
Saved in:
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
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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