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~person:"Berger, Theo"
~person:"Chen, Cathy W. S."
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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ARCH model
Prognoseverfahren
Risikomaß
30
Risk measure
30
Forecasting model
18
Theorie
16
Theory
16
ARCH-Modell
13
Capital income
9
Kapitaleinkommen
9
Volatility
8
Volatilität
8
Estimation
7
Multivariate Verteilung
7
Multivariate distribution
7
Portfolio selection
7
Portfolio-Management
7
Schätzung
7
Value-at-Risk
7
Statistical distribution
6
Statistische Verteilung
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
5
Börsenkurs
5
Markov chain
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Markov-Kette
5
Share price
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Method of moments
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Risikomanagement
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Risk management
4
Statistical test
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Statistischer Test
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Securities trading
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English
20
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Berger, Theo
Chen, Cathy W. S.
Fuertes, Ana María
Wied, Dominik
Gerlach, Richard
11
Degiannakis, Stavros
8
Giot, Pierre
8
McAleer, Michael
8
Weiß, Gregor
8
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 forecasting
4
International journal of forecasting
2
Journal of banking & finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Journal of risk
2
Computational economics
1
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance research letters
1
International review of financial analysis
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of economic dynamics & control
1
Journal of empirical finance
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ECONIS (ZBW)
20
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20
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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
Tail risk forecasting of realized volatility CAViaR models
Chen, Cathy W. S.
;
Hsu, Hsiao-Yun
;
Watanabe, Toshiaki
- In:
Finance research letters
51
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014304842
Saved in:
3
Bayesian quantile forecasting via the realized hysteretic GARCH model
Chen, Cathy W. S.
;
Lin, Edward M. H.
;
Huang, Tara F. J.
- In:
Journal of forecasting
41
(
2022
)
7
,
pp. 1317-1337
Persistent link: https://www.econbiz.de/10013465697
Saved in:
4
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard
;
Chen, Cathy W. S.
;
Lin, Edward M. H.
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
Saved in:
10
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:
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