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~isPartOf:"Journal of banking & finance"
~isPartOf:"Research in international business and finance"
~isPartOf:"Working paper"
~person:"Asai, Manabu"
~person:"Liu, Yimeng"
~subject:"Prognoseverfahren"
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Prognoseverfahren
Forecasting model
2
Risikomaß
2
Risk measure
2
2000-2010
1
ARCH model
1
ARCH-Modell
1
Accelerating generalized autoregressive score
1
Capital income
1
Cryptocurrency markets
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Estimation
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1
Risk management
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1
Statistical distribution
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Statistische Verteilung
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Stochastic process
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Time series analysis
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Time-varying mixture model
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United States
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Value-at-Risk
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Asai, Manabu
Liu, Yimeng
McAleer, Michael
8
Jiménez-Martín, Juan-Ángel
3
Pérez Amaral, Teodosio
3
Weiß, Gregor
3
Allen, David E.
2
Caporin, Massimiliano
2
McNeil, Alexander J.
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Wied, Dominik
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Asai, Manuabu
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1
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Lau, Chi Keung
1
León Valle, Ángel Manuel
1
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1
Liu, Wei
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Journal of banking & finance
Research in international business and finance
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The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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Forecasting Value-at-Risk of cryptocurrencies using the time-varying mixture-accelerating generalized autoregressive score model
Jiang, Kunliang
;
Zeng, Linhui
;
Song, Jiashan
;
Liu, Yimeng
- In:
Research in international business and finance
61
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014240057
Saved in:
2
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
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