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~isPartOf:"International journal of forecasting"
~subject:"Financial crisis"
~subject:"Markov-Kette"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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Financial crisis
Markov-Kette
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Risikomaß
55
Risk measure
55
Forecasting model
45
Prognoseverfahren
45
Theorie
30
Theory
30
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24
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24
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15
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Expected shortfall
10
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19
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Gerlach, Richard
2
Wang, Chao
2
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1
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1
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1
Boudt, Kris
1
Catania, Leopoldo
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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International journal of forecasting
Insurance / Mathematics & economics
105
Journal of banking & finance
93
European journal of operational research : EJOR
65
Journal of risk
61
Finance research letters
51
Risks : open access journal
51
Economic modelling
40
Discussion paper / Tinbergen Institute
37
International review of financial analysis
37
The North American journal of economics and finance : a journal of financial economics studies
37
Quantitative finance
36
Journal of risk and financial management : JRFM
30
Applied economics
27
Journal of economic dynamics & control
25
The European journal of finance
24
International journal of theoretical and applied finance
23
International review of economics & finance : IREF
21
Journal of empirical finance
21
Research in international business and finance
21
Computational economics
20
Journal of international financial markets, institutions & money
20
The journal of risk model validation
20
Finance and stochastics
18
Journal of econometrics
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Operations research
18
Research paper series / Swiss Finance Institute
18
Energy economics
17
Econometric Institute research papers
16
The journal of asset management
16
Working paper
15
Applied economics letters
14
Journal of forecasting
14
Journal of risk management in financial institutions
14
Scandinavian actuarial journal
14
The journal of credit risk : published quarterly by Incisive Media
14
Working papers
14
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of mathematical finance
12
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ECONIS (ZBW)
19
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date (oldest first)
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
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:
4
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:
5
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:
6
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:
7
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
8
Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures
Gerlach, Richard
;
Wang, Chao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 489-506
Persistent link: https://www.econbiz.de/10012415185
Saved in:
9
Comparing density forecasts in a risk management context
Diks, Cees G. H.
;
Fang, Hao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
Saved in:
10
Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
Saved in:
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