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~isPartOf:"Energy economics"
~isPartOf:"International journal of finance & economics : IJFE"
~isPartOf:"Journal of forecasting"
~language:"eng"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Multivariate Verteilung
Prognoseverfahren
Risikomaß
126
Risk measure
126
Volatility
52
Volatilität
52
ARCH model
46
ARCH-Modell
46
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44
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Ji, Qiang
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Energy economics
International journal of finance & economics : IJFE
Journal of forecasting
International journal of forecasting
52
Finance research letters
32
Insurance / Mathematics & economics
24
Journal of banking & finance
24
Risks : open access journal
24
The North American journal of economics and finance : a journal of financial economics studies
23
International review of financial analysis
22
Applied economics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk
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Discussion paper / Tinbergen Institute
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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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CFS working paper series
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Financial innovation : FIN
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ECONIS (ZBW)
61
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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
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
Saved in:
9
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:
10
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
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