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~person:"Fuertes, Ana María"
~person:"Lazar, Emese"
~subject:"Backtesting"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
~type_genre:"Graue Literatur"
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Search: subject_exact:"Risk measure"
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Backtesting
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14
Risk measure
14
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7
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6
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Fuertes, Ana María
Lazar, Emese
McAleer, Michael
34
Pérez Amaral, Teodosio
15
Jiménez-Martín, Juan-Ángel
12
Chlebus, Marcin
10
Gerlach, Richard
10
Caporin, Massimiliano
8
Dionne, Georges
8
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8
Paolella, Marc S.
8
Weiß, Gregor
8
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7
Asai, Manabu
7
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Dijk, Herman K. van
7
Gupta, Rangan
7
Hassani, Samir Saissi
7
Lönnbark, Carl
7
Mora-Valencia, Andrés
7
Taylor, James W.
7
Ardia, David
6
Herrera, Rodrigo
6
Marcellino, Massimiliano
6
Perote, Javier
6
Trojani, Fabio
6
Wang, Chao
6
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5
Clark, Todd E.
5
Hurlin, Christophe
5
Lucas, André
5
Mittnik, Stefan
5
Patton, Andrew J.
5
Pierdzioch, Christian
5
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5
Storti, Giuseppe
5
Wied, Dominik
5
Ñíguez, Trino-Manuel
5
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4
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4
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International journal of forecasting
3
International review of financial analysis
2
Journal of banking & finance
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Working papers / Lancaster University Management School
1
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ECONIS (ZBW)
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1
VaR and ES forecasting via recurrent neural network-based stateful models
Qiu, Zhiguo
;
Lazar, Emese
;
Nakata, Keiichi
- In:
International review of financial analysis
92
(
2024
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014492387
Saved in:
2
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
3
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
4
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:
5
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:
6
Forecasting VaR using analytic higher moments for GARCH processes
Alexander, Carol
;
Lazar, Emese
;
Stanescu, Silvia
- In:
International review of financial analysis
30
(
2013
),
pp. 36-45
Persistent link: https://www.econbiz.de/10010460001
Saved in:
7
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Fuertes, Ana María
;
Olmo, Jose
- In:
International journal of forecasting
29
(
2013
)
1
,
pp. 28-42
Persistent link: https://www.econbiz.de/10009706180
Saved in:
8
On forecasting daily stock volatility : the role of intraday information and market conditions
Fuertes, Ana María
;
Izzeldin, Marwan
;
Kalotychou, Elena
- In:
International journal of forecasting
25
(
2009
)
2
,
pp. 259-281
Persistent link: https://www.econbiz.de/10003870053
Saved in:
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