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~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Energy economics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Research paper series / Swiss Finance Institute"
~language:"eng"
~source:"econis"
~subject:"Prognoseverfahren"
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Prognoseverfahren
Risikomaß
141
Risk measure
141
Theorie
57
Theory
57
Risikomanagement
49
Risk management
49
Volatility
47
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Marcellino, Massimiliano
3
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2
Clark, Todd E.
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2
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1
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1
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Discussion papers / CEPR
Energy economics
Journal of financial econometrics
Research paper series / Swiss Finance Institute
International journal of forecasting
49
Journal of forecasting
32
Finance research letters
26
Discussion paper / Tinbergen Institute
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of empirical finance
15
International review of financial analysis
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Journal of banking & finance
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Risks : open access journal
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The journal of risk model validation
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Journal of risk
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Econometric Institute research papers
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CFS working paper series
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European journal of operational research : EJOR
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Journal of econometrics
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Journal of risk management in financial institutions
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of commodity markets
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Pacific-Basin finance journal
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Research in international business and finance
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Regression-based expected shortfall backtesting
Bayer, Sebastian
;
Dimitriadis, Timo
- In:
Journal of financial econometrics
20
(
2022
)
3
,
pp. 437-471
Persistent link: https://www.econbiz.de/10013349110
Saved in:
2
Risky oil : it's all in the tails
Baumeister, Christiane
;
Huber, Florian
;
Marcellino, …
-
2024
Persistent link: https://www.econbiz.de/10014537272
Saved in:
3
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:
4
Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 412-444
Persistent link: https://www.econbiz.de/10014314753
Saved in:
5
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:
6
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
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
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
9
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
Saved in:
10
Capturing macroeconomic tail risks with bayesian vector autoregressions
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2022
Persistent link: https://www.econbiz.de/10013286806
Saved in:
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