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~isPartOf:"Journal of risk"
~subject:"Original research"
~subject:"Statistical distribution"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"ARCH model"
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Original research
Statistical distribution
ARCH model
42
ARCH-Modell
42
Risikomaß
23
Risk measure
23
Volatility
22
Volatilität
22
Estimation
18
Schätzung
18
Estimation theory
12
Schätztheorie
12
Forecasting model
11
Portfolio selection
11
Portfolio-Management
11
Prognoseverfahren
11
Time series analysis
11
Zeitreihenanalyse
11
Theorie
10
Theory
10
Capital income
9
Kapitaleinkommen
9
value-at-risk (VaR)
9
Börsenkurs
7
Multivariate Verteilung
7
Multivariate distribution
7
Risiko
7
Risikomanagement
7
Risk
7
Risk management
7
Share price
7
Aktienindex
6
Stock index
6
Statistische Verteilung
5
Financial crisis
4
Financial market
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Finanzkrise
4
Finanzmarkt
4
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Messung
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Aufsatz in Zeitschrift
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11
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English
11
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Abad, Pilar
1
Benito Muela, Sonia
1
Berens, Tobias
1
Braun, Valentin
1
Cong, Jianfa
1
Deering, T. Ryan
1
Dionne, Georges
1
Farhat, Ahmad
1
Hackethal, Andreas
1
Hassani, Samir Saissi
1
Lamb, John D.
1
Luger, Richard
1
López-Martín, Carmen
1
Mei, Xueting
1
Monville, Maura E.
1
Nossman, Marcus
1
Richardson, Christopher
1
Simonato, Jean-Guy
1
Sánchez Granero, Miguel Angel
1
Tan, Ken Seng
1
Tee, Kaihong
1
Vilhelmsson, Anders
1
Wang, Chengguo
1
Weiß, Gregory N. F.
1
Wells, Christopher M.
1
Wu, Xinyu
1
Yin, Xuebao
1
Ziggel, Daniel
1
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Journal of risk
Journal of econometrics
15
International journal of forecasting
14
Journal of empirical finance
14
Economic modelling
12
Applied economics
11
Finance research letters
11
The European journal of finance
11
Journal of forecasting
10
The North American journal of economics and finance : a journal of financial economics studies
9
International review of financial analysis
8
Journal of banking & finance
8
International review of economics & finance : IREF
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of risk and financial management : JRFM
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
Economics letters
6
Energy economics
6
Journal of financial econometrics
6
Annals of financial economics
5
Computational economics
5
Econometrics : open access journal
5
Journal of economic dynamics & control
5
Applied economics letters
4
Global business & economics review
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Pacific-Basin finance journal
4
Quantitative finance
4
Review of quantitative finance and accounting
4
Risks : open access journal
4
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
4
Econometric reviews
3
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Financial innovation : FIN
3
International journal of theoretical and applied finance
3
Journal of international financial markets, institutions & money
3
Journal of risk : JOR
3
Quantitative finance and economics
3
The econometrics journal
3
The journal of futures markets
3
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ECONIS (ZBW)
11
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10
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11
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date (oldest first)
1
Time-varying higher moments, economic policy uncertainty and renminbi exchange rate volatility
Wu, Xinyu
;
Mei, Xueting
;
Yin, Xuebao
- In:
Journal of risk
25
(
2023
)
5
,
pp. 71-99
Persistent link: https://www.econbiz.de/10014370725
Saved in:
2
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:
3
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:
4
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:
5
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:
6
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
7
Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa
;
Tan, Ken Seng
;
Wang, Chengguo
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
Saved in:
8
Testing for GARCH effects with quasilikelihood ratios
Luger, Richard
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 23-59
Persistent link: https://www.econbiz.de/10013262927
Saved in:
9
Nonparametric forward-looking value-at-risk
Nossman, Marcus
;
Vilhelmsson, Anders
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 103-123
Persistent link: https://www.econbiz.de/10013262928
Saved in:
10
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy
- In:
Journal of risk
16
(
2013
)
2
,
pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Saved in:
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