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~isPartOf:"Discussion paper series / IZA"
~isPartOf:"Finance and economics discussion series"
~isPartOf:"Working papers"
~person:"Billio, Monica"
~person:"Chlebus, Marcin"
~person:"Cipollini, Fabrizio"
~person:"Douhan, Robin"
~person:"Manzini, Paola"
~person:"Ranjan, Priya"
~subject:"ARCH model"
~type_genre:"Amtsdruckschrift"
~type_genre:"Conference proceedings"
~type_genre:"Non-commercial literature"
~type_genre:"Systematic review"
~type_genre:"Thesis"
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Billio, Monica
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Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
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2023
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Prima edizione
Persistent link: https://www.econbiz.de/10014321854
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2
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
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3
HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
Saved in:
4
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
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5
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
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2020
Persistent link: https://www.econbiz.de/10012322119
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6
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2020
Persistent link: https://www.econbiz.de/10012244841
Saved in:
7
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2016
Persistent link: https://www.econbiz.de/10011629466
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