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~isPartOf:"Applied economics letters"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of forecasting"
~subject:"Prognoseverfahren"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Prognoseverfahren
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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42
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42
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Gerlach, Richard
4
McAleer, Michael
4
Chen, Cathy W. S.
3
Lin, Edward M. H.
3
Strobel, Frank
3
Berger, Theo
2
Da Veiga, Bernardo
2
Gatfaoui, Hayette
2
Jiang, Cuixia
2
Louzis, Dimitrios P.
2
Pérez Amaral, Teodosio
2
Refenes, Apostolos-Paul
2
Storti, Giuseppe
2
Tokpavi, Sessi
2
Wang, Chao
2
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2
Xu, Qifa
2
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1
Almudhaf, Fahad
1
Apergēs, Nikolaos
1
Ardia, David
1
Arteche, Josu
1
Banulescu, Denisa
1
Bao, Yong
1
Ben Abdelaziz, Fouad
1
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Applied economics letters
Economic modelling
Journal of forecasting
Insurance / Mathematics & economics
81
Finance research letters
59
International journal of forecasting
54
Journal of banking & finance
52
Risks : open access journal
40
Discussion paper / Tinbergen Institute
38
International review of financial analysis
33
Journal of risk
29
Journal of empirical finance
27
The journal of risk model validation
27
Journal of econometrics
26
Energy economics
24
The North American journal of economics and finance : a journal of financial economics studies
24
Applied economics
23
Quantitative finance
23
European journal of operational research : EJOR
20
Journal of financial econometrics
20
SFB 649 discussion paper
20
The journal of operational risk
20
Journal of risk and financial management : JRFM
19
Computational economics
18
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International review of economics & finance : IREF
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Research in international business and finance
16
Pacific-Basin finance journal
15
The European journal of finance
15
Working papers
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Econometric Institute research papers
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Journal of risk management in financial institutions
14
Journal of international financial markets, institutions & money
12
Research paper series / Swiss Finance Institute
12
Journal of economic dynamics & control
11
Scandinavian actuarial journal
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Astin bulletin : the journal of the International Actuarial Association
10
Journal of financial stability
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ECONIS (ZBW)
78
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1
Forecasting intraday volatility and VaR using multiplicative component GARCH model
Diao, Xundi
;
Tong, Bin
- In:
Applied economics letters
22
(
2015
)
16/18
,
pp. 1457-1464
Persistent link: https://www.econbiz.de/10011380317
Saved in:
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
Worldwide equity risk prediction
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Applied economics letters
20
(
2013
)
13/15
,
pp. 1333-1339
Persistent link: https://www.econbiz.de/10010202894
Saved in:
4
Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard
;
Chen, Cathy W. S.
;
Lin, Edward M. H.
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
Saved in:
5
Multiple hypothesis testing of market risk forecasting models
Esposito, Francesco P.
;
Cummins, Mark
- In:
Journal of forecasting
35
(
2016
)
5
,
pp. 381-399
Persistent link: https://www.econbiz.de/10011580778
Saved in:
6
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:
7
Backtesting expected shortfall : evidence from European securitized real estate
Almudhaf, Fahad
- In:
Applied economics letters
25
(
2018
)
3
,
pp. 176-182
Persistent link: https://www.econbiz.de/10011853830
Saved in:
8
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:
9
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:
10
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
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