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~person:"Chen, Yu"
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Search: subject:"Value at Risk"
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Chen, Yu
McAleer, Michael
193
Allen, David E.
59
Härdle, Wolfgang
58
Chang, Chia-Lin
51
Wang, Ruodu
50
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43
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41
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40
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39
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38
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38
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35
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33
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33
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32
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31
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28
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28
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28
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27
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27
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27
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26
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26
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25
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25
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24
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24
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23
Dhaene, Jan
23
Hautsch, Nikolaus
23
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23
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22
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22
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ECONIS (ZBW)
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1
Implicit Multivariate Backtesting Expected Shortfall
Chen, Yu
;
Zhang, Xin
;
Gong, Tingnan
-
2023
measure
value-at-risk
(VaR) with ES. However, the techniques for the assessment of ES are still scarce. Meanwhile …
Persistent link: https://www.econbiz.de/10014355152
Saved in:
2
Network effects on risk co-movements : a network quantile autoregression-based analysis
Chen, Yu
;
Gao, Yu
;
Shu, Lei
;
Zhu, Xiaonan
- In:
Finance research letters
56
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014473650
Saved in:
3
Modeling maxima with a regime-switching Fréchet model
Tan, Keqi
;
Chen, Yu
;
Chen, Pengzhan
- In:
Journal of risk
25
(
2022
)
2
,
pp. 27-45
Persistent link: https://www.econbiz.de/10014342458
Saved in:
4
Statistical inference for tail-based cumulative residual entropy
Sun, Hongfang
;
Chen, Yu
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
103
(
2022
),
pp. 66-95
Persistent link: https://www.econbiz.de/10013198327
Saved in:
5
Estimation of high conditional tail risk based on expectile regression
Hu, Jie
;
Chen, Yu
;
Tan, Keqi
- In:
ASTIN bulletin : the journal of the International …
51
(
2021
)
2
,
pp. 539-570
Persistent link: https://www.econbiz.de/10012523255
Saved in:
6
Mark to market
value
at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
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