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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Energy economics"
~isPartOf:"Journal of forecasting"
~language:"eng"
~subject:"Ausreißer"
~subject:"Prognoseverfahren"
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Ausreißer
Prognoseverfahren
Risikomaß
173
Risk measure
173
Theorie
64
Theory
64
Forecasting model
58
Volatility
55
Volatilität
54
ARCH model
50
ARCH-Modell
50
Portfolio selection
46
Portfolio-Management
46
Risk management
42
Risikomanagement
40
Statistical distribution
39
Statistische Verteilung
39
Risk
38
Risiko
36
Estimation
32
Schätzung
32
Capital income
26
Kapitaleinkommen
26
Oil price
26
Welt
26
World
26
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26
Value-at-Risk
21
Multivariate Verteilung
19
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19
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19
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18
Finanzkrise
18
Outliers
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McAleer, Michael
10
Pérez Amaral, Teodosio
6
Dijk, Herman K. van
4
Hoogerheide, Lennart
4
Jiménez-Martín, Juan-Ángel
4
Lucas, André
4
Allen, David E.
3
Chang, Chia-Lin
3
Chen, Cathy W. S.
3
Gerlach, Richard
3
Lin, Edward M. H.
3
Borowska, Agnieszka
2
Da Veiga, Bernardo
2
Daníelsson, Jón
2
Dijk, Dick van
2
Herrera, Rodrigo
2
Hoogerheide, Lennart F.
2
Kole, Erik
2
Koopman, Siem Jan
2
Maasoumi, Esfandiar
2
Opschoor, Anne
2
Vries, Casper G. de
2
Wang, Chao
2
Zhang, Xin
2
Apergēs, Nikolaos
1
Ardia, David
1
Arteche, Josu
1
Asai, Manabu
1
Banachewicz, Konrad
1
Banulescu, Denisa
1
Bao, Yong
1
Belkacem, Lotfi
1
Berger, Theo
1
Bouri, Elie
1
Caporin, Massimiliano
1
Caserta, Silvia
1
Chen, Lu
1
Cheng, Wai-yan
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1
Chong, James
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Discussion paper / Tinbergen Institute
Energy economics
Journal of forecasting
International journal of forecasting
45
Finance research letters
27
Insurance / Mathematics & economics
25
Journal of banking & finance
24
Risks : open access journal
24
Applied economics
20
International review of financial analysis
19
Journal of empirical finance
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of risk
18
The North American journal of economics and finance : a journal of financial economics studies
18
Economic modelling
15
Journal of financial econometrics
15
The journal of risk model validation
14
Quantitative finance
13
Econometric Institute research papers
12
Journal of econometrics
12
Journal of risk and financial management : JRFM
11
Computational economics
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Working paper
10
Applied economics letters
9
The journal of operational risk
9
Journal of international financial markets, institutions & money
8
SFB 649 discussion paper
8
The European journal of finance
8
Working papers
8
CFS working paper series
7
European journal of operational research : EJOR
7
Journal of economic dynamics & control
7
Journal of mathematical finance
7
Journal of risk finance : the convergence of financial products and insurance
7
Journal of risk management in financial institutions
7
Pacific-Basin finance journal
7
Research in international business and finance
7
CESifo working papers
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International review of economics & finance : IREF
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ECONIS (ZBW)
68
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1
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68
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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
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
3
Portfolio optimization based on forecasting models using vine copulas : an empirical assessment for global financial crises
Sahamkhadam, Maziar
;
Stephan, Andreas
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2139-2166
Persistent link: https://www.econbiz.de/10014432866
Saved in:
4
Bootstrap VAR forecasts : the effect of model uncertainties
Fresoli, Diego
- In:
Journal of forecasting
41
(
2022
)
2
,
pp. 279-293
Persistent link: https://www.econbiz.de/10012817747
Saved in:
5
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:
6
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:
7
A comparison of Range Value at Risk (RVaR) forecasting models
Müller, Fernanda Maria
;
Gössling, Thalles Weber
; …
- In:
Journal of forecasting
43
(
2024
)
3
,
pp. 509-543
Persistent link: https://www.econbiz.de/10014532345
Saved in:
8
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
9
Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Wang, Cheng
;
Bouri, Elie
;
Xu, Yahua
;
Zhang, Dingsheng
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014489965
Saved in:
10
Forecasting energy prices : quantile-based risk models
Apergēs, Nikolaos
- In:
Journal of forecasting
42
(
2023
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10013465758
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