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~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"International journal of forecasting"
~subject:"Financial crisis"
~subject:"Markov-Kette"
~subject:"Portfolio selection"
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Financial crisis
Markov-Kette
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Risikomaß
121
Risk measure
121
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66
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66
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63
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63
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46
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57
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McAleer, Michael
10
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8
Vries, Casper G. de
7
Hyung, Namwon
6
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5
Pérez Amaral, Teodosio
5
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4
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3
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3
Schaumburg, Julia
3
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2
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2
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2
Chang, Chia-Lin
2
Daníelsson, Jón
2
Dijk, Dick van
2
Dijk, Herman K. van
2
Gerlach, Richard
2
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2
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2
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2
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2
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2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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Discussion paper / Tinbergen Institute
International journal of forecasting
Insurance / Mathematics & economics
105
Journal of banking & finance
93
European journal of operational research : EJOR
67
Journal of risk
63
Finance research letters
60
Risks : open access journal
53
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42
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41
International review of financial analysis
40
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37
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30
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27
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26
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24
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23
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22
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22
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21
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21
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21
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20
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18
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Management science : journal of the Institute for Operations Research and the Management Sciences
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14
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Scandinavian actuarial journal
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The journal of credit risk : published quarterly by Incisive Media
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12
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ECONIS (ZBW)
57
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
3
Portfolio selection under non-gaussianity and systemic risk : a machine learning based forecasting approach
Lin, Weidong
;
Taamouti, Abderrahim
- In:
International journal of forecasting
40
(
2024
)
3
,
pp. 1179-1188
Persistent link: https://www.econbiz.de/10014547268
Saved in:
4
Observation-driven models for realized variances and overnight returns applied to value-at-risk and
expected
shortfall
forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
5
Forecasting
expected
shortfall
: should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
6
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
7
Nonparametric
expected
shortfall
forecasting incorporating weighted quantiles
Storti, Giuseppe
;
Wang, Chao
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
Saved in:
8
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
introduced to further decrease the numerical standard errors of the Value-at-Risk and
Expected
Shortfall
estimators. The third …
Persistent link: https://www.econbiz.de/10012057160
Saved in:
9
Backtesting Value-at-Risk and
expected
shortfall
in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
-
2019
We investigate the effect of estimation error on backtests of (multi-period)
expected
shortfall
(ES) forecasts. These …
Persistent link: https://www.econbiz.de/10012057163
Saved in:
10
Bayesian risk forecasting for long horizons
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
-
2019
Expected
Shortfall
, for a given volatility model. We obtain precise forecasts of the tail of the distribution of returns not …
Persistent link: https://www.econbiz.de/10011979983
Saved in:
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