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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Journal of international financial markets, institutions & money"
~subject:"Measurement"
~subject:"Welt"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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Measurement
Welt
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153
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58
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53
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Daly, Kevin James
2
Akhter, Selim
1
Barbagli, Matteo
1
Batten, Jonathan A.
1
Bee, Marco
1
Boonen, Tim J.
1
Braekers, Roel
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1
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Linh Hoang Nguyen
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Astin bulletin : the journal of the International Actuarial Association
Economic modelling
Journal of financial econometrics
Journal of international financial markets, institutions & money
Insurance / Mathematics & economics
104
Journal of banking & finance
33
Risks : open access journal
30
European journal of operational research : EJOR
29
Journal of risk
28
Finance research letters
26
Energy economics
22
Mathematics of operations research
19
Finance and stochastics
17
International review of financial analysis
17
Mathematics and financial economics
17
Quantitative finance
17
The North American journal of economics and finance : a journal of financial economics studies
16
International journal of theoretical and applied finance
15
International review of economics & finance : IREF
14
Scandinavian actuarial journal
12
The journal of risk model validation
12
Research paper series / Swiss Finance Institute
11
Applied economics letters
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
Working paper
10
Journal of risk management in financial institutions
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Mathematical finance : an international journal of mathematics, statistics and financial economics
9
Operations research
9
Applied economics
8
Computational economics
8
Econometric Institute research papers
8
Journal of risk and financial management : JRFM
8
Operations research letters
8
ASTIN bulletin : the journal of the International Actuarial Association
7
Discussion paper / Tinbergen Institute
7
Journal of forecasting
7
The journal of operational risk
7
Journal of empirical finance
6
Journal of financial stability
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ECONIS (ZBW)
30
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30
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1
International stock market volatility : a global tail risk sight
Lu, Xinjie
;
Zeng, Qing
;
Zhong, Juandan
;
Zhu, Bo
- In:
Journal of international financial markets, …
91
(
2024
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014494749
Saved in:
2
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
3
Accounting for PD-LGD dependency : a tractable extension to the Basel ASRF framework
Barbagli, Matteo
;
Vrins, Frédéric
- In:
Economic modelling
125
(
2023
),
pp. 1-26
Persistent link: https://www.econbiz.de/10014463531
Saved in:
4
Do world stock markets "jump" together? : a measure of high-frequency volatility risk spillover networks
Zhou, Dong-hai
;
Liu, Xiao-xing
- In:
Journal of international financial markets, …
88
(
2023
),
pp. 1-31
Persistent link: https://www.econbiz.de/10014483183
Saved in:
5
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
6
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
7
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
8
The asymmetry of the Amihud illiquidity measure on the European markets : the evidence from Extreme Value Theory
Będowska-Sójka, Barbara
;
Echaust, Krzysztof
;
Just, …
- In:
Journal of international financial markets, …
78
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013357308
Saved in:
9
International tail risk connectedness : network and determinants
Linh Hoang Nguyen
;
Lambe, Brenda John
- In:
Journal of international financial markets, …
72
(
2021
),
pp. 1-23
Persistent link: https://www.econbiz.de/10012801485
Saved in:
10
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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