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~isPartOf:"The journal of asset management"
~subject:"ARCH model"
~subject:"Portfolio selection"
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ARCH model
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Risikomaß
61
Risk measure
61
Forecasting model
34
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34
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28
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28
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26
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expected shortfall
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McAleer, Michael
4
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2
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Journal of forecasting
The journal of asset management
Insurance / Mathematics & economics
106
Journal of banking & finance
87
Journal of risk
69
European journal of operational research : EJOR
62
Finance research letters
61
Risks : open access journal
51
Economic modelling
47
International review of financial analysis
43
Journal of empirical finance
42
The North American journal of economics and finance : a journal of financial economics studies
42
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41
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38
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36
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35
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34
International journal of forecasting
30
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29
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25
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25
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24
International review of economics & finance : IREF
24
Research in international business and finance
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23
Econometric Institute research papers
21
Research paper series / Swiss Finance Institute
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20
Journal of econometrics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Journal of international financial markets, institutions & money
18
Finance and stochastics
17
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Operations research
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Applied economics letters
15
Journal of mathematical finance
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
14
Journal of risk management in financial institutions
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Scandinavian actuarial journal
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ECONIS (ZBW)
39
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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
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:
4
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:
5
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:
6
Semiparametric estimation of
expected
shortfall
and its application in finance
Fang, Yan
;
Li, Jian
;
Liu, Yinglin
;
Zhao, Yunfan
- In:
Journal of forecasting
42
(
2023
)
4
,
pp. 835-851
Persistent link: https://www.econbiz.de/10014292830
Saved in:
7
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
8
A multivariate GARCH-jump mixture model
Li, Chenxing
;
Maheu, John M.
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 182-207
Persistent link: https://www.econbiz.de/10014443194
Saved in:
9
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:
10
Portfolio optimization with covered calls
Diaz, Mauricio
;
Kwon, Roy H.
- In:
The journal of asset management
20
(
2019
)
1
,
pp. 38-53
Persistent link: https://www.econbiz.de/10012059744
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