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~person:"Brownlees, Christian"
~person:"Kirchner, Axel"
~subject:"Prognoseverfahren"
~subject:"Risk measure"
~subject:"loss functions"
~type_genre:"Article in journal"
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Prognoseverfahren
Risk measure
loss functions
Risikomaß
5
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4
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2
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2
Estimation
2
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2
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Brownlees, Christian
Kirchner, Axel
Wang, Ruodu
27
Hammoudeh, Shawkat
22
Righi, Marcelo Brutti
21
McAleer, Michael
19
Fabozzi, Frank J.
17
Mensi, Walid
15
Boonen, Tim J.
14
Rosazza Gianin, Emanuela
14
Uryasev, Stan
14
Cheung, Ka Chun
13
Janabi, Mazin A. M. al
13
Kang, Sang Hoon
13
Račev, Svetlozar T.
13
Tiwari, Aviral Kumar
13
Embrechts, Paul
12
Gerlach, Richard
12
Guillén, Montserrat
12
Härdle, Wolfgang
12
Mao, Tiantian
12
Rüschendorf, Ludger
12
Tan, Ken Seng
12
Bali, Turan G.
11
Brandtner, Mario
11
Cai, Jun
11
Daníelsson, Jón
11
Nadarajah, Saralees
11
Vanduffel, Steven
11
Weiß, Gregor
11
Balbás de la Corte, Alejandro
10
Dowd, Kevin
10
Furman, Edward
10
Guégan, Dominique
10
Ji, Qiang
10
Karmakar, Madhusudan
10
Müller, Fernanda Maria
10
Peng, Liang
10
Allen, David E.
9
Asimit, Alexandru V.
9
Bernard, Carole
9
Gupta, Rangan
9
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Annals of financial economics
2
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of monetary economics
1
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ECONIS (ZBW)
5
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1
Backtesting global growth-at-Risk
Brownlees, Christian
;
Souza, André B. M.
- In:
Journal of monetary economics
118
(
2021
),
pp. 312-330
Persistent link: https://www.econbiz.de/10012603779
Saved in:
2
Back to the future : backtesting systemic risk measures during historical bank runs and the great depression
Brownlees, Christian
;
Chabot, Ben
;
Ghysels, Eric
;
Kurz, …
- In:
Journal of banking & finance
113
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012226121
Saved in:
3
Evaluating the accuracy of tail risk forecasts for systemic risk measurement
Brownlees, Christian
;
Cavaliere, Giuseppe
;
Monti, Alice
- In:
Annals of financial economics
13
(
2018
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011931111
Saved in:
4
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros
;
Kirchner, Axel
;
Liu, Zhuoshi
; …
- In:
Annals of financial economics
10
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
Saved in:
5
On variable selection for volatility forecasting : the role of focused selection criteria
Brownlees, Christian
;
Gallo, Giampiero M.
- In:
Journal of financial econometrics : official journal of …
6
(
2008
)
4
,
pp. 513-539
Persistent link: https://www.econbiz.de/10003778985
Saved in:
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