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~isPartOf:"The journal of risk model validation"
~isPartOf:"The review of economics and statistics"
~subject:"Measurement"
~subject:"VAR model"
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The journal of risk model validation
The review of economics and statistics
International journal of forecasting
96
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44
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30
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Scenario design for macrofinancial stress testing
De Meo, Emanuele
- In:
The journal of risk model validation
16
(
2022
)
4
,
pp. 1-36
Persistent link: https://www.econbiz.de/10014239844
Saved in:
2
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
3
A prudent loss given default estimation for mortgages
Ozdemir, Bogie
- In:
The journal of risk model validation
10
(
2016
)
4
,
pp. 39-54
Persistent link: https://www.econbiz.de/10011587711
Saved in:
4
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
5
Prior selection for vector autoregressions
Giannone, Domenico
;
Lenza, Michele
;
Primiceri, Giorgio E.
- In:
The review of economics and statistics
97
(
2015
)
2
,
pp. 436-451
Persistent link: https://www.econbiz.de/10011333148
Saved in:
6
Measuring true sales and underreporting with matched firm-level survey and tax office data
Zhou, Fujin
;
Oostendorp, Remco H.
- In:
The review of economics and statistics
96
(
2014
)
3
,
pp. 563-576
Persistent link: https://www.econbiz.de/10010400211
Saved in:
7
Forecasting aggregate productivity using information from firm-level data
Bartelsman, Eric J.
;
Wolf, Zoltán
- In:
The review of economics and statistics
96
(
2014
)
4
,
pp. 745-755
Persistent link: https://www.econbiz.de/10010488056
Saved in:
8
A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests
Guarda, Paolo
;
Rouabah, Abdelaziz
;
Theal, John
- In:
The journal of risk model validation
7
(
2013/2014
)
4
,
pp. 21-51
Persistent link: https://www.econbiz.de/10010480646
Saved in:
9
Measures of predictive success for rating functions
Ostrowski, Sebastian
;
Reichling, Peter
- In:
The journal of risk model validation
5
(
2011
)
2
,
pp. 61-78
Persistent link: https://www.econbiz.de/10009357004
Saved in:
10
New Eurocoin : tracking economic growth in real time
Altissimo, Filippo
;
Cristadoro, Riccardo
;
Forni, Mario
; …
- In:
The review of economics and statistics
92
(
2010
)
4
,
pp. 1024-1034
Persistent link: https://www.econbiz.de/10008746347
Saved in:
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