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~isPartOf:"International review of economics & finance : IREF"
~isPartOf:"Journal of financial econometrics"
~subject:"ARCH-Modell"
~subject:"Measurement"
~type:"article"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
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Risikomaß
67
Risk measure
67
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25
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25
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24
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24
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Alexeev, Vitali
1
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1
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International review of economics & finance : IREF
Journal of financial econometrics
Insurance / Mathematics & economics
111
Journal of risk
45
Journal of banking & finance
43
Finance research letters
41
Risks : open access journal
35
European journal of operational research : EJOR
32
Energy economics
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Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
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The journal of risk model validation
27
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25
International review of financial analysis
25
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23
International journal of forecasting
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International journal of theoretical and applied finance
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Scandinavian actuarial journal
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Research in international business and finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of international financial markets, institutions & money
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Operations research letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Operations research
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Risk management : a journal of risk, crisis and disaster
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Pacific-Basin finance journal
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ECONIS (ZBW)
29
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1
COVID-19 uncertainty index in Japan : newspaper-based measures and economic activities
Morita, Hiroshi
;
Ono, Taiki
- In:
International review of economics & finance : IREF
93
(
2024
)
1
,
pp. 390-403
Persistent link: https://www.econbiz.de/10014535355
Saved in:
2
Volatility forecasts by clustering$applications for VaR estimation
Wang, Zijin
;
Chen, Peimin
;
Liu, Peng
;
Wu, Chunchi
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014582647
Saved in:
3
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
5
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
6
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:
7
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:
8
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:
9
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Risk measure index tracking model
Sant'Anna, Leonardo Riegel
;
Righi, Marcelo Brutti
; …
- In:
International review of economics & finance : IREF
80
(
2022
),
pp. 361-383
Persistent link: https://www.econbiz.de/10013342032
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