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~person:"Ardia, David"
~person:"Fuertes, Ana María"
~person:"Gupta, Rangan"
~subject:"Portfolio-Management"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Portfolio-Management
Prognoseverfahren
Risikomaß
22
Risk measure
22
Forecasting model
13
Volatility
12
Volatilität
12
ARCH model
10
ARCH-Modell
10
Capital income
10
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10
Kapitaleinkommen
10
Schätzung
10
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8
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Time series analysis
7
Zeitreihenanalyse
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GARCH
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Portfolio selection
5
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Value-at-Risk
5
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4
Risikomanagement
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Securities trading
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Ardia, David
Fuertes, Ana María
Gupta, Rangan
Wang, Ruodu
20
Hammoudeh, Shawkat
18
McAleer, Michael
14
Righi, Marcelo Brutti
14
Gerlach, Richard
11
Janabi, Mazin A. M. al
11
Mao, Tiantian
10
Mensi, Walid
10
Müller, Fernanda Maria
10
Rosazza Gianin, Emanuela
10
Rüschendorf, Ludger
10
Fabozzi, Frank J.
9
Kang, Sang Hoon
9
Uryasev, Stan
9
Vanduffel, Steven
9
Taylor, James W.
8
Tiwari, Aviral Kumar
8
Weiß, Gregor
8
Zhu, Shushang
8
Brandtner, Mario
7
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Härdle, Wolfgang
7
Karmakar, Madhusudan
7
Kim, Young Shin
7
Li, Duan
7
Mora-Valencia, Andrés
7
Tang, Qihe
7
Wang, Chao
7
Alexander, Gordon J.
6
Berger, Theo
6
Bernard, Carole
6
Cai, Jun
6
Chlebus, Marcin
6
Furman, Edward
6
Herrera, Rodrigo
6
Landsman, Zinoviy
6
Mittnik, Stefan
6
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International journal of forecasting
3
The North American journal of economics and finance : a journal of financial economics studies
3
Finance research letters
2
Applied economics letters
1
Economics letters
1
Energy economics
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of commodity markets
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of time series econometrics
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Pacific-Basin finance journal
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ECONIS (ZBW)
16
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1
A Bayesian perspective on commodity style integration
Fuertes, Ana María
;
Zhao, Nan
- In:
Journal of commodity markets
30
(
2023
),
pp. 1-29
Persistent link: https://www.econbiz.de/10014426739
Saved in:
2
Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
Saved in:
3
Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
Saved in:
4
Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
Salisu, Afees A.
;
Pierdzioch, Christian
;
Gupta, Rangan
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013341577
Saved in:
5
Risk spillover between Bitcoin and conventional financial markets : an expectile-based approach
Zhang, Yue-jun
;
Bouri, Elie
;
Gupta, Rangan
;
Ma, Shu-Jiao
- In:
The North American journal of economics and finance : a …
55
(
2021
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012667384
Saved in:
6
Forecasting realized gold volatility : is there a role of geopolitical risks?
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Finance research letters
35
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012438328
Saved in:
7
Time-varying risk aversion and realized gold volatility
Demirer, Rıza
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
- In:
The North American journal of economics and finance : a …
50
(
2019
)
101048
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012204443
Saved in:
8
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David
;
Bluteau, Keven
;
Boudt, Kris
;
Catania, Leopoldo
- In:
International journal of forecasting
34
(
2018
)
4
,
pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
Saved in:
9
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
10
Financial tail risks in conventional and Islamic stock markets : a comparative analysis
Muteba Mwamba, John
;
Hammoudeh, Shawkat
;
Gupta, Rangan
- In:
Pacific-Basin finance journal
42
(
2017
),
pp. 60-82
Persistent link: https://www.econbiz.de/10011800542
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