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~isPartOf:"Journal of risk"
~subject:"ARCH-Modell"
~subject:"Estimation"
~subject:"Forecasting model"
~subject:"Measurement"
~subject:"Multivariate distribution"
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Search: subject_exact:"LPM (Lower Partial Moments)"
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ARCH-Modell
Estimation
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Risikomaß
123
Risk measure
123
Portfolio selection
57
Portfolio-Management
57
Theorie
41
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41
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40
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40
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Berger, Theo
2
Boudt, Kris
2
Righi, Marcelo Brutti
2
Uryasev, Stan
2
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2
Abad, Pilar
1
Alemany, Ramon
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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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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1
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1
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1
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Journal of risk
Insurance / Mathematics & economics
132
Journal of banking & finance
72
Finance research letters
63
International journal of forecasting
56
Risks : open access journal
54
Energy economics
46
The North American journal of economics and finance : a journal of financial economics studies
44
International review of financial analysis
43
European journal of operational research : EJOR
42
The journal of risk model validation
42
Economic modelling
41
Applied economics
40
Journal of forecasting
37
Journal of empirical finance
36
Journal of risk and financial management : JRFM
35
Quantitative finance
34
Discussion paper / Tinbergen Institute
30
Journal of financial econometrics : official journal of the Society for Financial Econometrics
27
International review of economics & finance : IREF
26
Journal of econometrics
23
Working papers
23
Computational economics
22
Journal of financial econometrics
20
Research in international business and finance
20
International journal of theoretical and applied finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Mathematics of operations research
19
Research paper series / Swiss Finance Institute
19
Applied economics letters
18
Finance and stochastics
18
Journal of economic dynamics & control
18
Mathematics and financial economics
18
SFB 649 discussion paper
18
The European journal of finance
18
Journal of international financial markets, institutions & money
17
Scandinavian actuarial journal
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Econometric Institute research papers
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Journal of mathematical finance
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ECONIS (ZBW)
64
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1
Value-at-risk models : a systematic review of the literature
Shayya, Reem
;
Sorrosal Forradellas, Maria Teresa
; …
- In:
Journal of risk
25
(
2023
)
4
,
pp. 1-23
Persistent link: https://www.econbiz.de/10014314618
Saved in:
2
A theory for combinations of risk measures
Righi, Marcelo Brutti
- In:
Journal of risk
25
(
2023
)
4
,
pp. 25-60
Persistent link: https://www.econbiz.de/10014314623
Saved in:
3
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
4
Asymmetric risk spillovers between oil and the Chinese stock market : a Beta-skew-t-EGARCH-EVT-copula approach
Chen, Jiusheng
- In:
Journal of risk
25
(
2023
)
3
,
pp. 77-127
Persistent link: https://www.econbiz.de/10014283909
Saved in:
5
An approach to capital allocation based on mean conditional value-at-risk
Han, Yuecai
;
Zhang, Fengtong
;
Liu, Xinyu
- In:
Journal of risk
25
(
2023
)
6
,
pp. 53-71
Persistent link: https://www.econbiz.de/10014546366
Saved in:
6
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
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7
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
8
Counterparty risk allocation
Baule, Rainer
- In:
Journal of risk
25
(
2022
)
1
,
pp. 49-74
Persistent link: https://www.econbiz.de/10013549681
Saved in:
9
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
10
A numerical approach to the risk capital allocation problem
Gzyl, Henryk
;
Mayoral, Silvia
- In:
Journal of risk
23
(
2021
)
5
,
pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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