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auf. Sie steht im Zentrum dieses Buches. Im ersten Teil geht es darum, wieweit mit der heutigen Messung ökonomischer …
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Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...
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Risk estimation or volatility estimation at financial markets, particularly stock exchange markets, is complex issue of …
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Comparing groups with respect to hypothetical constructs requires that the measurement models are equal across groups … multi-group confirmatory factor analysis to assess measurement invariance. The required steps in the analysis of the … GfK Market Research as an example. -- Measurement invariance ; partial metric invariance ; multi-group confirmatory …
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In this paper, we employ 99% intraday value-at-risk (VaR) and intraday expected shortfall (ES) as risk metrics to assess the competency of the Multiplicative Component Generalised Autoregressive Heteroskedasticity (MC-GARCH) models based on the 1-min EUR/USD exchange rate returns. Five...
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