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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Econometric Institute research papers"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"Basel Accord"
~subject:"Measurement"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH model
Basel Accord
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Risikomaß
94
Risk measure
94
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44
Prognoseverfahren
44
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42
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42
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31
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McAleer, Michael
23
Pérez Amaral, Teodosio
13
Jiménez-Martín, Juan-Ángel
10
Chang, Chia-Lin
7
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3
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Astin bulletin : the journal of the International Actuarial Association
Econometric Institute research papers
Journal of forecasting
Insurance / Mathematics & economics
118
Journal of banking & finance
59
Journal of risk
56
Risks : open access journal
42
Finance research letters
41
European journal of operational research : EJOR
34
The journal of risk model validation
31
Economic modelling
30
Energy economics
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The North American journal of economics and finance : a journal of financial economics studies
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28
International review of financial analysis
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17
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17
Journal of international financial markets, institutions & money
16
Computational economics
15
Journal of econometrics
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The European journal of finance
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Scandinavian actuarial journal
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Research in international business and finance
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
48
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48
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1
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
2
Forecasting value at risk and expected shortfall using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
3
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
4
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
5
Semiparametric estimation of expected shortfall and its application in finance
Fang, Yan
;
Li, Jian
;
Liu, Yinglin
;
Zhao, Yunfan
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
Saved in:
6
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
7
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
Saved in:
8
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
9
A conditional equity risk model for regulatory assessment
Floryszczak, A.
;
Lévy Véhel, Jacques
;
Majri, M.
- In:
Astin bulletin : the journal of the International …
49
(
2019
)
1
,
pp. 217-242
Persistent link: https://www.econbiz.de/10012105450
Saved in:
10
Fast computation of risk measures for variable annuities with additional earnings by conditional moment matching
Privault, Nicolas
;
Wei, Xiao
- In:
Astin bulletin : the journal of the International …
48
(
2018
)
1
,
pp. 171-196
Persistent link: https://www.econbiz.de/10011875595
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