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Search: subject:"Riskmetrics"
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RiskMetrics
24
ARCH-Modell
8
GARCH
8
ARCH model
7
Volatility
7
Volatilität
7
Zeitreihenanalyse
7
Prognoseverfahren
6
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6
Schätztheorie
6
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6
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6
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5
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5
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5
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5
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4
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4
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4
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4
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3
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3
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3
2SLS
2
Ausreißer
2
Black-Scholes
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EWMA
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Ex-ante and ex-post volatility
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2
IVIX
2
India
2
India VIX
2
Indien
2
Information content
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KOSPI200 Options
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Kapitaleinkommen
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2
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Free
13
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Article
21
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Daníelsson, Jón
4
Vries, Casper G. de
3
Frydenberg, Stein
2
Medeiros, Marcelo C.
2
Nekhili, Ramzi
2
Padhi, Puja
2
Ryu, Doojin
2
Shaikh, Imlak
2
Souza, Leonardo
2
Sultan, Jahangir
2
Veiga, Alvaro
2
Westgaard, Sjur
2
Aaløkken, Maurits M.
1
Alexander, Carol
1
Arhus, Gisle Hoel
1
Arouri, Mohamed El Hedi
1
Cerović, Julija
1
Chen, Yu-Lung
1
Chiang, Shu-Mei
1
Chiu, Chien-Liang
1
Cipra, Tomáš
1
Degiannakis, Stavros
1
Dimitrakopoulos, Dimitris
1
Dockery, Everton
1
Duc, Khuong Nguyen
1
Duffy, David
1
Dunis, Christian
1
Efentakis, Miltiadis
1
Filis, George
1
Frydenberg, Marina
1
Gozgor, Giray
1
Gupta, Apoorv
1
Hartkopf, Jan Patrick
1
Hendrych, Radek
1
Holtorf, Claudia
1
Hung, Jui-Cheng
1
Jules, SADEFO KAMDEM
1
Kambouroudis, Dimos
1
Karathanasopoulos, Andreas
1
Kondor, Imre
1
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Departamento de Economia, Pontifícia Universidade Católica do Rio de Janeiro
1
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1
Development and Policies Research Center (Depocen)
1
EconWPA
1
Henley Business School, University of Reading
1
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1
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1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Physica A: Statistical Mechanics and its Applications
2
Tinbergen Institute Discussion Papers
2
Business Systems Research
1
Discussion paper / Tinbergen Institute
1
Economic Change and Restructuring
1
Economic change and restructuring : empirical and policy research on the transitional and emerging economies
1
Emerging Markets Finance and Trade
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Finance research letters
1
ICMA Centre Discussion Papers in Finance
1
IIMB management review
1
International Journal of Financial Markets and Derivatives
1
International Journal of Financial Studies
1
International Journal of Financial Studies : open access journal
1
International Review of Financial Analysis
1
International journal of decision sciences, risk and management
1
Journal of risk
1
MPRA Paper
1
Multinational Finance Journal
1
Research in international business and finance
1
Risk and Insurance
1
Risk management : challenge and opportunity ; with 125 tables
1
Texto para discussão
1
Textos para discussão
1
The European journal of finance
1
The journal of energy markets
1
The journal of risk model validation
1
Tinbergen Institute Discussion Paper
1
Working Papers / Development and Policies Research Center (Depocen)
1
Working Papers de Gestão, Economia e Marketing (Management, Economics and Marketing Working Papers)
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RePEc
16
ECONIS (ZBW)
13
EconStor
3
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1
Challenging golden standards in EWMA smoothing parameter calibration based on realized covariance measures
Hartkopf, Jan Patrick
;
Reh, Laura
- In:
Finance research letters
56
(
2023
),
pp. 1-6
Persistent link: https://www.econbiz.de/10014473708
Saved in:
2
Jump driven risk model performance in cryptocurrency market
Nekhili, Ramzi
;
Sultan, Jahangir
- In:
International Journal of Financial Studies
8
(
2020
)
2
,
pp. 1-18
TGARCH (Threshold GARCH) volatility and
RiskMetrics
models. The results imply that for the cryptocurrency market, the best …
Persistent link: https://www.econbiz.de/10013200266
Saved in:
3
Jump driven risk model performance in cryptocurrency market
Nekhili, Ramzi
;
Sultan, Jahangir
- In:
International Journal of Financial Studies : open …
8
(
2020
)
2/19
,
pp. 1-18
TGARCH (Threshold GARCH) volatility and
RiskMetrics
models. The results imply that for the cryptocurrency market, the best …
Persistent link: https://www.econbiz.de/10012239256
Saved in:
4
Performance of value-at-risk averaging in the Nordic power futures market
Sveinsson, Jørgen Andersen
;
Frydenberg, Stein
; …
- In:
The journal of energy markets
13
(
2020
)
3
,
pp. 25-55
Persistent link: https://www.econbiz.de/10012662208
Saved in:
5
Forecasting value-at-risk of cryptocurrencies with
riskmetrics
type models
Liu, Wei
;
Semeyutin, Artur
;
Lau, Chi Keung
;
Gozgor, Giray
- In:
Research in international business and finance
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012581358
Saved in:
6
A Comparative Analysis of Value at Risk Measurement on Emerging Stock Markets: Case of Montenegro
Cerović, Julija
;
Lipovina-Božović, Milena
; …
- In:
Business Systems Research
6
(
2015
)
1
,
pp. 36-55
,1) and
RiskMetrics
) proved to be on the lower bound of possible Value at Risk movements. Risk estimation on emerging markets …
Persistent link: https://www.econbiz.de/10011272289
Saved in:
7
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
8
Recursive estimation of the exponentially weighted moving average model
Hendrych, Radek
;
Cipra, Tomáš
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 43-67
Persistent link: https://www.econbiz.de/10012117479
Saved in:
9
Do VaR exceptions have seasonality? : an empirical study on Indian commodity spot prices
Gupta, Apoorv
;
Rajib, Prabina
- In:
IIMB management review
30
(
2018
)
4
,
pp. 369-384
Persistent link: https://www.econbiz.de/10012042010
Saved in:
10
Time-varying Business Cycles Synchronisation in Europe
Degiannakis, Stavros
;
Duffy, David
;
Filis, George
-
Volkswirtschaftliche Fakultät, …
-
2013
-countries based on scalar-BEKK and multivariate
Riskmetrics
model frameworks for the period 1980-2009. The paper provides evidence …
Persistent link: https://www.econbiz.de/10011107545
Saved in:
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