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~isPartOf:"Applied economics letters"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of forecasting"
~subject:"Ausreißer"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Ausreißer
Statistical distribution
Systemrisiko
Risikomaß
145
Risk measure
145
Theorie
70
Theory
70
Portfolio selection
51
Portfolio-Management
51
Forecasting model
46
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46
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42
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Gerlach, Richard
3
Strobel, Frank
3
Berger, Theo
2
Gatfaoui, Hayette
2
Storti, Giuseppe
2
Wang, Chao
2
Akhter, Selim
1
Andrieş, Alin Marius
1
Ben Abdelaziz, Fouad
1
Braekers, Roel
1
Candelon, Bertrand
1
Cao, Yufei
1
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1
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Erden, Lütfi
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Applied economics letters
Economic modelling
Journal of forecasting
Insurance / Mathematics & economics
85
Journal of banking & finance
47
Finance research letters
38
Risks : open access journal
34
International review of financial analysis
30
International journal of forecasting
29
Discussion paper / Tinbergen Institute
28
Journal of risk
25
The journal of operational risk
24
Energy economics
21
Journal of econometrics
21
Applied economics
20
Journal of empirical finance
20
The North American journal of economics and finance : a journal of financial economics studies
20
SFB 649 discussion paper
18
The journal of risk model validation
18
Quantitative finance
17
European journal of operational research : EJOR
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of financial econometrics
16
Journal of risk and financial management : JRFM
16
International review of economics & finance : IREF
15
Pacific-Basin finance journal
14
The European journal of finance
14
Journal of international financial markets, institutions & money
13
Working papers
13
Computational economics
12
Research in international business and finance
12
Journal of financial stability
11
Scandinavian actuarial journal
11
Astin bulletin : the journal of the International Actuarial Association
10
Journal of risk management in financial institutions
10
Swiss Finance Institute Research Paper
10
International journal of theoretical and applied finance
9
Journal of mathematical finance
9
Research paper series / Swiss Finance Institute
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef
;
Snoussi, Wafa
- In:
Economic modelling
29
(
2012
)
5
,
pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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2
Testing for Granger causality in distribution tails : an application to oil markets integration
Candelon, Bertrand
;
Joëts, Marc
;
Tokpavi, Sessi
- In:
Economic modelling
31
(
2013
),
pp. 276-285
Persistent link: https://www.econbiz.de/10009729103
Saved in:
3
Energy portfolio risk management using time-varying extreme value copula methods
Ghorbel, Ahmed
;
Trabelsi, Abdelwahed
- In:
Economic modelling
38
(
2014
),
pp. 470-485
Persistent link: https://www.econbiz.de/10010419011
Saved in:
4
Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre
;
Maurer, Frantz
- In:
Economic modelling
67
(
2017
),
pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
Saved in:
5
Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market
Ji, Jingru
;
Wang, Donghua
;
Xu, Dinghai
- In:
Economic modelling
80
(
2019
),
pp. 383-391
Persistent link: https://www.econbiz.de/10012200735
Saved in:
6
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
7
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
8
A Bayesian realized threshold measurement GARCH framework for financial tail risk forecasting
Wang, Chao
;
Gerlach, Richard
- In:
Journal of forecasting
43
(
2024
)
1
,
pp. 40-57
Persistent link: https://www.econbiz.de/10014443184
Saved in:
9
Modeling uncertainty in financial tail risk : a forecast combination and weighted quantile approach
Storti, Giuseppe
;
Wang, Chao
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1648-1663
Persistent link: https://www.econbiz.de/10014432743
Saved in:
10
Forecasting VaR models under different volatility processes and distributions of return innovations
Dendramis, Yiannis
;
Spungin, Giles E.
;
Tzavalis, Elias
- In:
Journal of forecasting
33
(
2014
)
7
,
pp. 515-531
Persistent link: https://www.econbiz.de/10011282095
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