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~person:"Al-Yahyaee, Khamis Hamed"
~person:"Fuertes, Ana María"
~person:"Lazar, Emese"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomanagement
Risikomaß
18
Risk measure
18
Volatility
10
Volatilität
10
Forecasting model
7
Portfolio selection
7
Portfolio-Management
7
Risk management
7
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6
ARCH-Modell
6
Theorie
6
Theory
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Multivariate Verteilung
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Time series analysis
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Ölpreis
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Aktienmarkt
3
Copula
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3
Expected shortfall
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Schätzung
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3
Stock market
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Cryptocurrencies
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13
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Al-Yahyaee, Khamis Hamed
Fuertes, Ana María
Lazar, Emese
Wang, Ruodu
17
Embrechts, Paul
11
Righi, Marcelo Brutti
11
Gerlach, Richard
10
Mao, Tiantian
10
McAleer, Michael
10
Hammoudeh, Shawkat
9
Cai, Jun
8
Gupta, Rangan
8
Puccetti, Giovanni
8
Weiß, Gregor
8
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Janabi, Mazin A. M. al
7
Karmakar, Madhusudan
7
Li, Jianping
7
Mensi, Walid
7
Müller, Fernanda Maria
7
Rüschendorf, Ludger
7
Stoja, Evarist
7
Taylor, James W.
7
Balbás de la Corte, Alejandro
6
Guillén, Montserrat
6
Kumar, Dilip
6
Mora-Valencia, Andrés
6
Polanski, Arnold
6
Tan, Ken Seng
6
Tiwari, Aviral Kumar
6
Wang, Chao
6
Bee, Marco
5
Berger, Theo
5
Bernard, Carole
5
Bernardi, Mauro
5
Boonen, Tim J.
5
Brandtner, Mario
5
Cheung, Ka Chun
5
Chlebus, Marcin
5
Ghorbel, Ahmed
5
Hoga, Yannick
5
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International journal of forecasting
3
The North American journal of economics and finance : a journal of financial economics studies
3
International review of financial analysis
2
Applied economics
1
Emerging markets review
1
European journal of operational research : EJOR
1
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
13
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
2
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
3
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
4
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
5
Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies : portfolio risk management implications
Mensi, Walid
;
Ur Rehman, Mobeen
;
Al-Yahyaee, Khamis Hamed
; …
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 283-294
Persistent link: https://www.econbiz.de/10012120250
Saved in:
6
Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola
;
Al-Yahyaee, Khamis Hamed
; …
- In:
Applied economics
51
(
2019
)
44
,
pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
Saved in:
7
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
8
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
Saved in:
9
Extreme dependence and risk spillovers between oil and Islamic stock markets
Shahzad, Syed Jawad Hussain
;
Mensi, Walid
;
Hammoudeh, …
- In:
Emerging markets review
34
(
2018
),
pp. 42-63
Persistent link: https://www.econbiz.de/10012114666
Saved in:
10
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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