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~person:"Berger, Theo"
~person:"Fuertes, Ana María"
~person:"Wied, Dominik"
~subject:"Prognoseverfahren"
~type_genre:"Arbeitspapier"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomaß
28
Risk measure
28
Forecasting model
14
Theorie
11
Theory
11
ARCH model
9
ARCH-Modell
9
Capital income
8
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8
Value-at-Risk
8
Börsenkurs
7
Multivariate Verteilung
7
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7
Portfolio selection
7
Portfolio-Management
7
Share price
7
Volatility
6
Volatilität
6
Risikomanagement
5
Risk management
5
Estimation
4
Method of moments
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4
Schätzung
4
Securities trading
4
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4
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4
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3
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Arbeitspapier
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14
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Berger, Theo
Fuertes, Ana María
Wied, Dominik
McAleer, Michael
34
Pérez Amaral, Teodosio
15
Jiménez-Martín, Juan-Ángel
12
Gerlach, Richard
10
Weiß, Gregor
10
Chlebus, Marcin
9
Caporin, Massimiliano
8
Hoogerheide, Lennart
8
Paolella, Marc S.
8
Allen, David E.
7
Asai, Manabu
7
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Dijk, Herman K. van
7
Dionne, Georges
7
Gupta, Rangan
7
Lönnbark, Carl
7
Taylor, James W.
7
Hassani, Samir Saissi
6
Trojani, Fabio
6
Wang, Chao
6
Ardia, David
5
Berens, Tobias
5
Carriero, Andrea
5
Clark, Todd E.
5
Lucas, André
5
Marcellino, Massimiliano
5
McNeil, Alexander J.
5
Mittnik, Stefan
5
Patton, Andrew J.
5
Pierdzioch, Christian
5
Righi, Marcelo Brutti
5
Storti, Giuseppe
5
Ziggel, Daniel
5
Ñíguez, Trino-Manuel
5
Almeida, Caio
4
Ardison, Kym
4
Bee, Marco
4
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Discussion papers / Technische Universität Dortmund Fakultät Statistik, SFB 823
2
International journal of forecasting
2
Journal of banking & finance
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 : official journal of the Society for Financial Econometrics
1
Journal of forecasting
1
Journal of risk
1
Working papers / Lancaster University Management School
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ECONIS (ZBW)
14
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14
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1
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:
2
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:
3
Testing for structural breaks in correlation : does it improve Value-at-Risk forecasting?
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
-
2013
Persistent link: https://www.econbiz.de/10009776165
Saved in:
4
A new set of improved value-at-risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
-
2013
Persistent link: https://www.econbiz.de/10009793506
Saved in:
5
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:
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
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:
9
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:
10
On forecasting daily stock volatility : the role of intraday information and market conditions
Fuertes, Ana María
(
contributor
); …
-
2008
Persistent link: https://www.econbiz.de/10003733579
Saved in:
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