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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"Multivariate distribution"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Multivariate distribution
Prognoseverfahren
Risikomaß
22
Risk measure
22
Forecasting model
11
Theorie
11
Theory
11
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8
ARCH-Modell
8
Capital income
7
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Value-at-Risk
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15
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Berger, Theo
Fuertes, Ana María
Wied, Dominik
Gerlach, Richard
10
Weiß, Gregor
10
McAleer, Michael
8
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Gupta, Rangan
7
Mensi, Walid
7
Righi, Marcelo Brutti
7
Taylor, James W.
7
Tiwari, Aviral Kumar
7
Hammoudeh, Shawkat
6
Ji, Qiang
6
Karmakar, Madhusudan
6
Paul, Samit
6
Shahzad, Syed Jawad Hussain
6
Wang, Chao
6
Chlebus, Marcin
5
Ghorbel, Ahmed
5
Pierdzioch, Christian
5
Reboredo, Juan Carlos
5
Storti, Giuseppe
5
Al-Yahyaee, Khamis Hamed
4
Ardia, David
4
Bee, Marco
4
Herrera, Rodrigo
4
Hoga, Yannick
4
Hurlin, Christophe
4
Jiang, Cuixia
4
Kok Haur Ng
4
Lee, Tae-hwy
4
Liu, Bing-Yue
4
Lönnbark, Carl
4
Muteba Mwamba, John
4
Müller, Fernanda Maria
4
Naimoli, Antonio
4
Sahamkhadam, Maziar
4
Salisu, Afees A.
4
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International journal of forecasting
3
Journal of banking & finance
2
Journal of risk
2
Economic modelling
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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ECONIS (ZBW)
15
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15
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1
Model and moment selection in factor copula models
Duan, Fang
;
Manner, Hans
;
Wied, Dominik
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 45-75
Persistent link: https://www.econbiz.de/10012878186
Saved in:
2
A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
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
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:
5
Dependence in credit default swap and equity markets : dynamic copula with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
6
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:
7
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:
8
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:
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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