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~isPartOf:"Working paper"
~isPartOf:"Working papers"
~subject:"Multivariate Verteilung"
~subject:"Portfolio-Management"
~subject:"Prognoseverfahren"
~subject:"Risikomaß"
~subject:"Risk management"
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Multivariate Verteilung
Portfolio-Management
Prognoseverfahren
Risikomaß
Risk management
Risk measure
60
Portfolio selection
20
Theorie
20
Theory
20
Volatility
19
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19
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16
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risk management
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McAleer, Michael
18
Chlebus, Marcin
9
Pérez Amaral, Teodosio
7
Jiménez-Martín, Juan-Ángel
6
Allen, David E.
5
Billio, Monica
5
Caporin, Massimiliano
5
Chang, Chia-Lin
5
Frattarolo, Lorenzo
4
Hassani, Samir Saissi
4
Buczyński, Mateusz
3
Dionne, Georges
3
Pelizzon, Loriana
3
Barro, Diana
2
Benavides, Guillermo
2
Canestrelli, Elio
2
Casarin, Roberto
2
Corradin, Fausto
2
Guidolin, Massimo
2
Guégan, Dominique
2
Hammoudeh, Shawkat
2
Hassani, Bertrand
2
Mumtaz, Haroon
2
Sartore, Domenico
2
Singh, Abhay Kumar
2
Afonso, António
1
Asai, Manabu
1
Asai, Manuabu
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Barziy, Illya
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Bastianin, Andrea
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Buczyńsk, Mateusz
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Cassese, Gianluca
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Chen, Cathy W. S.
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Cipollini, Fabrizio
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Da Veiga, Bernardo
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218
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181
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123
European journal of operational research : EJOR
111
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107
Finance research letters
95
International review of financial analysis
74
Economic modelling
71
Energy economics
71
The North American journal of economics and finance : a journal of financial economics studies
67
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67
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62
International journal of forecasting
59
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54
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54
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53
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53
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47
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47
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47
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42
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41
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40
International review of economics & finance : IREF
39
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38
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36
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34
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32
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32
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28
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ECONIS (ZBW)
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21
Banking leverage procyclicality : a theoretical model introducing currency diversification
Pedrono, Justine
-
2017
Persistent link: https://www.econbiz.de/10011745493
Saved in:
22
Is CAViaR model really so good in Value at Risk forecasting? : evidence from evaluation of a quality of Value-at-Risk forecasts obtained based on the: GARCH(1,1), GARCH-t(1,1), GAR...
Buczyński, Mateusz
;
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2017
Persistent link: https://www.econbiz.de/10011907622
Saved in:
23
Systemically important banks : a permutation test approach
Frattarolo, Lorenzo
;
Parpinel, Francesca
;
Pizzi, Claudio
-
2016
Persistent link: https://www.econbiz.de/10011636612
Saved in:
24
Risk aversion : differential conditions for the concavity in transformed two-parameter distributions
Corradin, Fausto
;
Sartore, Domenico
-
2016
Persistent link: https://www.econbiz.de/10011641989
Saved in:
25
EWS-GARCH : new regime switching approach to forecast value-at-risk
Chlebus, Marcin
-
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
-
2016
Persistent link: https://www.econbiz.de/10011788233
Saved in:
26
Hedge fund tail risk : an investigation in stressed markets, extended version with appendix
Billio, Monica
;
Frattarolo, Lorenzo
;
Pelizzon, Loriana
-
2016
Persistent link: https://www.econbiz.de/10011629465
Saved in:
27
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2016
Persistent link: https://www.econbiz.de/10011629466
Saved in:
28
The Spectral Stress VaR (SSVaR)
Guégan, Dominique
;
Hassani, Bertrand
;
Li, Kehan
-
2015
Persistent link: https://www.econbiz.de/10011635436
Saved in:
29
Risk or regulatory capital? : bringing distributions back in the foreground
Guégan, Dominique
;
Hassani, Bertrand
-
2015
Persistent link: https://www.econbiz.de/10011635443
Saved in:
30
Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
-
2014
Persistent link: https://www.econbiz.de/10011554962
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