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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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16
Estimation
16
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14
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10
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10
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9
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Value at Risk
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Welt
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GARCH
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Measurement
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Messung
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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
1
Barziy, Illya
1
Bastianin, Andrea
1
Buczyńsk, Mateusz
1
Cassese, Gianluca
1
Chen, Cathy W. S.
1
Chiu, Ching Wai Jeremy
1
Cipollini, Fabrizio
1
Da Veiga, Bernardo
1
Erdemlioglu, Deniz
1
Gallo, Giampiero M.
1
Gerlach, Richard
1
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4
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3
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1
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Working paper
Working papers
Insurance / Mathematics & economics
218
Journal of banking & finance
181
Journal of risk
121
European journal of operational research : EJOR
110
Risks : open access journal
107
Finance research letters
93
Economic modelling
69
Energy economics
69
International review of financial analysis
69
The North American journal of economics and finance : a journal of financial economics studies
67
Discussion paper / Tinbergen Institute
62
The journal of risk model validation
60
International journal of forecasting
55
Journal of empirical finance
54
Applied economics
53
Journal of risk and financial management : JRFM
53
Quantitative finance
51
International journal of theoretical and applied finance
47
Journal of risk management in financial institutions
47
The journal of operational risk
45
Journal of forecasting
42
Journal of econometrics
41
Computational economics
38
The European journal of finance
37
Journal of financial econometrics : official journal of the Society for Financial Econometrics
36
Research in international business and finance
36
International review of economics & finance : IREF
35
Research paper series / Swiss Finance Institute
34
SFB 649 discussion paper
34
Journal of economic dynamics & control
33
Journal of international financial markets, institutions & money
32
Scandinavian actuarial journal
32
Applied economics letters
31
Finance and stochastics
31
Econometric Institute research papers
29
Pacific-Basin finance journal
29
Management science : journal of the Institute for Operations Research and the Management Sciences
28
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ECONIS (ZBW)
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Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
2
Using skewed exponential power mixture for VaR and CVaR forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2023
Persistent link: https://www.econbiz.de/10014232280
Saved in:
3
Systemic tail risk: high-frequency measurement, evidence and implications
Erdemlioglu, Deniz
;
Neely, Christopher J.
;
Yang, Xiye
-
2023
Persistent link: https://www.econbiz.de/10014320683
Saved in:
4
Monitoring multicountry macroeconomic risk
Korobilis, Dimitris
;
Schröder, Maximilian
-
2023
Persistent link: https://www.econbiz.de/10014285859
Saved in:
5
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
6
Forecasting VaR and CVaR based on a skewed exponential power mixture, in compliance with the new market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
-
2022
Persistent link: https://www.econbiz.de/10013273453
Saved in:
7
GARCHNet - Value-at-Risk forecasting with novel approach to GARCH models based on neural networks
Buczyński, Mateusz
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795155
Saved in:
8
HCR & HCR-GARCH - novel statistical learning models for value at risk estimation
Woźniak, Michał
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795164
Saved in:
9
Comparison of the accuracy in VaR forecasting for commodities using different methods of combining forecasts
Lis, Szymon
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012795166
Saved in:
10
The new international regulation of market risk : roles of VaR and CVaR in model validation
Hassani, Samir Saissi
;
Dionne, Georges
-
2021
Persistent link: https://www.econbiz.de/10012423037
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