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~person:"Berens, Tobias"
~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"ARCH-Modell"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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ARCH-Modell
Prognoseverfahren
Risikomaß
23
Risk measure
23
Forecasting model
12
Theorie
11
Theory
11
ARCH model
9
Portfolio selection
8
Portfolio-Management
8
Capital income
7
Kapitaleinkommen
7
Multivariate Verteilung
7
Multivariate distribution
7
Value-at-Risk
7
Börsenkurs
5
Estimation
5
Schätzung
5
Share price
5
Statistical distribution
5
Statistische Verteilung
5
Volatility
5
Volatilität
5
Method of moments
4
Momentenmethode
4
Risikomanagement
4
Risk management
4
Time series analysis
4
Zeitreihenanalyse
4
Estimation theory
3
Schätztheorie
3
Securities trading
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Simulation
3
Statistical test
3
Statistischer Test
3
Wertpapierhandel
3
Ausreißer
2
Backtesting
2
Forecasting
2
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14
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14
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4
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English
14
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Berens, Tobias
Berger, Theo
Fuertes, Ana María
Wied, Dominik
Gerlach, Richard
11
Degiannakis, Stavros
8
Giot, Pierre
8
McAleer, Michael
8
Weiß, Gregor
8
Chen, Cathy W. S.
7
Chlebus, Marcin
7
Francq, Christian
7
Herrera, Rodrigo
7
Paolella, Marc S.
7
Su, Jung-bin
7
Taylor, James W.
7
Wang, Chao
7
Zakoïan, Jean-Michel
7
Ardia, David
6
Gupta, Rangan
6
Karmakar, Madhusudan
6
Liu, Hung-Chun
6
Mensi, Walid
6
Righi, Marcelo Brutti
6
Storti, Giuseppe
6
Westgaard, Sjur
6
Zarangas, Leonidas P.
6
Hoga, Yannick
5
Kang, Sang Hoon
5
Kim, Young Shin
5
McMillan, David G.
5
Paul, Samit
5
Pierdzioch, Christian
5
Tian, Maoxi
5
Tiwari, Aviral Kumar
5
Trabelsi, Abdelwahed
5
Walther, Thomas
5
Ñíguez, Trino-Manuel
5
Aloui, Chaker
4
Bali, Turan G.
4
Barone-Adesi, Giovanni
4
Bee, Marco
4
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Journal of risk
3
International journal of forecasting
2
Journal of banking & finance
2
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
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ECONIS (ZBW)
14
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14
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1
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
2
Volatility spillover along the supply chains : a network analysis on economic links
Berger, Theo
;
Gençay, Ramazan
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 83-113
Persistent link: https://www.econbiz.de/10012421694
Saved in:
3
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
4
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
5
Improving daily Value-at-Risk forecasts : the relevance of short-run volatility for regulatory quality assessment
Berger, Theo
;
Gençay, Ramazan
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 30-46
Persistent link: https://www.econbiz.de/10011974231
Saved in:
6
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
Saved in:
7
Forecasting based on decomposed financial return series : a wavelet analysis
Berger, Theo
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 419-433
Persistent link: https://www.econbiz.de/10011580976
Saved in:
8
On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo
- In:
Economic modelling
58
(
2016
),
pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
Saved in:
9
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
10
Testing for structural breaks in correlations : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of empirical finance
32
(
2015
),
pp. 135-152
Persistent link: https://www.econbiz.de/10011556809
Saved in:
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