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~isPartOf:"Journal of risk"
~subject:"Aktienmarkt"
~subject:"Share price"
~subject:"Statistische Verteilung"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Aktienmarkt
Share price
Statistische Verteilung
ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
Volatility
22
Volatilität
22
Estimation
18
Schätzung
18
Estimation theory
12
Schätztheorie
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Forecasting model
11
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value-at-risk (VaR)
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Multivariate Verteilung
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Aktienindex
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Original research
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Stock index
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5
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Financial market
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Aufsatz in Zeitschrift
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English
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Abad, Pilar
1
Benito Muela, Sonia
1
Berens, Tobias
1
Bouri, Elie
1
Chen, Jiusheng
1
Deering, T. Ryan
1
Dionne, Georges
1
Farhat, Ahmad
1
Feng, Yiyun
1
Gillas, Konstantinos Gkillas
1
Guo, Chuan
1
Gupta, Rangan
1
Han, Yang
1
Hassani, Samir Saissi
1
Kyei, Clement Kewku
1
Lamb, John D.
1
Luger, Richard
1
López-Martín, Carmen
1
Ma, Chaoqun
1
Monville, Maura E.
1
Qiao, Xiao
1
Richardson, Christopher
1
Schäfer, Rudi
1
Simonato, Jean-Guy
1
Sánchez Granero, Miguel Angel
1
Tee, Kaihong
1
Wang, Yongning
1
Weiß, Gregory N. F.
1
Wells, Christopher M.
1
Wollschläger, Marcel
1
Wu, Xinyu
1
Ziggel, Daniel
1
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Journal of risk
Finance research letters
86
International review of economics & finance : IREF
72
Applied economics
71
Energy economics
71
International review of financial analysis
71
Economic modelling
67
Research in international business and finance
65
The North American journal of economics and finance : a journal of financial economics studies
57
Journal of international financial markets, institutions & money
55
Journal of empirical finance
51
Journal of risk and financial management : JRFM
50
Applied economics letters
38
Journal of banking & finance
38
Journal of econometrics
37
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
34
International journal of forecasting
33
Journal of forecasting
30
Economics letters
29
The European journal of finance
28
Applied financial economics
27
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
26
International Journal of Energy Economics and Policy : IJEEP
26
International journal of economics and financial issues : IJEFI
24
International journal of finance & economics : IJFE
24
Pacific-Basin finance journal
24
Review of quantitative finance and accounting
23
Cogent economics & finance
22
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets
17
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
17
International Journal of Financial Studies : open access journal
17
International journal of economics and finance
17
Emerging markets review
16
The journal of futures markets
16
Afro-Asian Journal of Finance and Accounting : AAJFA
15
Global business review
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Journal of financial econometrics
15
The empirical economics letters : a monthly international journal of economics
15
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ECONIS (ZBW)
13
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1
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
Saved in:
2
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:
3
Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan
;
Feng, Yiyun
- In:
Journal of risk
25
(
2022
)
1
,
pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
Saved in:
4
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:
5
Forecasting stock market volatility : an asymmetric conditional autoregressive range mixed data sampling (ACARR-MIDAS) model
Wu, Xinyu
;
Han, Yang
;
Ma, Chaoqun
- In:
Journal of risk
23
(
2021
)
6
,
pp. 1-35
Persistent link: https://www.econbiz.de/10013473133
Saved in:
6
Monetary policy uncertainty and jumps in advanced equity markets
Bouri, Elie
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 101-112
Persistent link: https://www.econbiz.de/10012500112
Saved in:
7
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
8
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
9
A vine copula : GARCH approach to corporate exposure management
Wells, Christopher M.
;
Farhat, Ahmad
;
Richardson, …
- In:
Journal of risk
20
(
2017/2018
)
2
,
pp. 27-51
Persistent link: https://www.econbiz.de/10013262948
Saved in:
10
Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel
;
Schäfer, Rudi
- In:
Journal of risk
19
(
2016
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10011579750
Saved in:
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