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~isPartOf:"Econometric Institute research papers"
~isPartOf:"Working papers"
~subject:"Multivariate Verteilung"
~subject:"Portfolio-Management"
~subject:"Prognoseverfahren"
~subject:"Risikomaß"
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Multivariate Verteilung
Portfolio-Management
Prognoseverfahren
Risikomaß
Risk measure
61
Portfolio selection
24
ARCH model
23
ARCH-Modell
23
Basel Accord
20
Basler Akkord
20
Theorie
19
Theory
19
Forecasting model
18
Volatility
18
Volatilität
18
Estimation
16
Schätzung
16
Risk management
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Risikomanagement
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Statistical distribution
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Statistische Verteilung
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Capital income
9
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9
Finanzkrise
9
Kapitaleinkommen
9
Welt
8
World
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Risk
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Spillover effect
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Spillover-Effekt
7
Value at Risk
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Bank risk
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Bankrisiko
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Risiko
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GARCH
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VAR model
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VAR-Modell
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risk management
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Market risk
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60
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McAleer, Michael
27
Pérez Amaral, Teodosio
11
Chang, Chia-Lin
9
Chlebus, Marcin
9
Jiménez-Martín, Juan-Ángel
9
Billio, Monica
5
Caporin, Massimiliano
5
Allen, David E.
4
Frattarolo, Lorenzo
4
Hassani, Samir Saissi
4
Buczyński, Mateusz
3
Dionne, Georges
3
Pelizzon, Loriana
3
Asai, Manabu
2
Barro, Diana
2
Benavides, Guillermo
2
Bi̇rbi̇l, Ş. İlker
2
Canestrelli, Elio
2
Casarin, Roberto
2
Corradin, Fausto
2
Frenk, Johannes G.
2
Guégan, Dominique
2
Hammoudeh, Shawkat
2
Hassani, Bertrand
2
Jimenez-Martin, Juan-Angel
2
Kaynar, Bahar
2
Maasoumi, Esfandiar
2
Powell, Robert
2
Sartore, Domenico
2
Singh, Abhay Kumar
2
Tansuchat, Roengchai
2
Afonso, António
1
Barziy, Illya
1
Buczyńsk, Mateusz
1
Chan, Felix
1
Chen, Cathy W. S.
1
Cipollini, Fabrizio
1
Da Veiga, Bernardo
1
Duc Hong Vo
1
Gallo, Giampiero M.
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Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
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Econometric Institute research papers
Working papers
Insurance / Mathematics & economics
217
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
110
Risks : open access journal
107
Finance research letters
93
Economic modelling
69
Energy economics
69
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
67
Discussion paper / Tinbergen Institute
62
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
54
Applied economics
53
Journal of risk and financial management : JRFM
53
Quantitative finance
51
International journal of theoretical and applied finance
47
Journal of risk management in financial institutions
47
The journal of operational risk
45
Journal of forecasting
42
Journal of econometrics
41
Computational economics
38
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
International review of economics & finance : IREF
35
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of economic dynamics & control
33
Journal of international financial markets, institutions & money
32
Applied economics letters
31
Finance and stochastics
31
Scandinavian actuarial journal
31
Pacific-Basin finance journal
29
Management science : journal of the Institute for Operations Research and the Management Sciences
28
Operations research letters
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ECONIS (ZBW)
61
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Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
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2
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
Saved in:
3
Monitoring multicountry macroeconomic risk
Korobilis, Dimitris
;
Schröder, Maximilian
-
2023
Persistent link: https://www.econbiz.de/10014285859
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4
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
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5
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
6
GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
Saved in:
7
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:
8
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
Saved in:
9
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
Saved in:
10
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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