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~language:"eng"
~person:"Giot, Pierre"
~person:"Polanski, Arnold"
~person:"Vries, Casper G. de"
~subject:"Risikomaß"
~type_genre:"Article in journal"
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Search: subject:"Value at Risk"
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Risikomaß
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23
ARCH model
8
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8
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8
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7
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7
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Giot, Pierre
Polanski, Arnold
Vries, Casper G. de
Wang, Ruodu
28
Hammoudeh, Shawkat
22
Righi, Marcelo Brutti
21
McAleer, Michael
19
Fabozzi, Frank J.
17
Boonen, Tim J.
15
Mensi, Walid
15
Rosazza Gianin, Emanuela
14
Tiwari, Aviral Kumar
14
Uryasev, Stan
14
Cheung, Ka Chun
13
Härdle, Wolfgang
13
Janabi, Mazin A. M. al
13
Kang, Sang Hoon
13
Račev, Svetlozar T.
13
Cai, Jun
12
Embrechts, Paul
12
Gerlach, Richard
12
Guillén, Montserrat
12
Mao, Tiantian
12
Rüschendorf, Ludger
12
Tan, Ken Seng
12
Bali, Turan G.
11
Daníelsson, Jón
11
Ji, Qiang
11
Nadarajah, Saralees
11
Vanduffel, Steven
11
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10
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10
Dowd, Kevin
10
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10
Guégan, Dominique
10
Herrera, Rodrigo
10
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10
Müller, Fernanda Maria
10
Peng, Liang
10
Weiß, Gregor
10
Allen, David E.
9
Asimit, Alexandru V.
9
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9
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International journal of forecasting
3
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2
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2
Journal of forecasting
2
Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
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1
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1
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ECONIS (ZBW)
23
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1
Does systematic tail risk matter?
Stoja, Evarist
;
Polanski, Arnold
;
Linh Hoang Nguyen
; …
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014245969
Saved in:
2
Forecasting multidimensional tail risk at short and long horizons
Polanski, Arnold
;
Stoja, Evarist
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 958-969
Persistent link: https://www.econbiz.de/10011746932
Saved in:
3
Co-dependence of extreme events in high frequency FX returns
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of international money and finance
44
(
2014
),
pp. 164-178
Persistent link: https://www.econbiz.de/10010391066
Saved in:
4
Risk measures for autocorrelated hedge fund returns
Di Cesare, Antonio
;
Stork, Philip
;
Vries, Casper G. de
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 868-895
Persistent link: https://www.econbiz.de/10011417824
Saved in:
5
Multidimensional risk and risk dependence
Polanski, Arnold
;
Stoja, Evarist
;
Zhang, Ren
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3286-3294
Persistent link: https://www.econbiz.de/10009782155
Saved in:
6
Fat tails, VaR and subadditivity
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Samorodnitsky, …
- In:
Journal of econometrics
172
(
2013
)
2
,
pp. 283-291
Persistent link: https://www.econbiz.de/10009706202
Saved in:
7
Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management
Polanski, Arnold
;
Stoja, Evarist
- In:
International journal of forecasting
28
(
2012
)
2
,
pp. 343-352
Persistent link: https://www.econbiz.de/10009581927
Saved in:
8
Simulating and calibrating diversification against black swans
Hyung, Namwon
;
Vries, Casper G. de
- In:
Journal of economic dynamics & control
36
(
2012
)
8
,
pp. 1162-1175
Persistent link: https://www.econbiz.de/10009634272
Saved in:
9
Dynamic density forecasts for multivariate asset returns
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
30
(
2011
)
6
,
pp. 523-540
Persistent link: https://www.econbiz.de/10009354712
Saved in:
10
Incorporating higher moments into
value-at-risk
forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
Saved in:
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