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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"Prognoseverfahren"
~subject:"Theory"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
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22
Risk measure
22
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11
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11
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8
ARCH-Modell
8
Capital income
7
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7
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7
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7
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Value-at-Risk
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Volatility
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English
17
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Berger, Theo
Fuertes, Ana María
Wied, Dominik
Wang, Ruodu
24
Righi, Marcelo Brutti
17
Rosazza Gianin, Emanuela
14
Rüschendorf, Ludger
12
Boonen, Tim J.
11
Brandtner, Mario
11
Cheung, Ka Chun
11
Gerlach, Richard
11
Embrechts, Paul
10
Fabozzi, Frank J.
10
Furman, Edward
10
Tan, Ken Seng
10
Kürsten, Wolfgang
9
Landsman, Zinoviy
9
Mao, Tiantian
9
Müller, Fernanda Maria
9
Rudloff, Birgit
9
Daníelsson, Jón
8
Härdle, Wolfgang
8
McAleer, Michael
8
Munari, Cosimo-Andrea
8
Puccetti, Giovanni
8
Račev, Svetlozar T.
8
Vanduffel, Steven
8
Asimit, Alexandru V.
7
Balbás de la Corte, Alejandro
7
Bellini, Fabio
7
Bernard, Carole
7
Cai, Jun
7
Chen, Cathy W. S.
7
Chen, Zhiping
7
Chi, Yichun
7
Degiannakis, Stavros
7
Guillén, Montserrat
7
Jarrow, Robert A.
7
Pichler, Alois
7
Su, Jianxi
7
Tang, Qihe
7
Taylor, James W.
7
Wang, Chao
7
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International journal of forecasting
3
Journal of banking & finance
2
Journal of risk
2
Economic modelling
1
Economics letters
1
International review of financial analysis
1
Journal of commodity markets
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)
17
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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
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:
3
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:
4
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:
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
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:
7
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:
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
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:
10
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:
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