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~isPartOf:"Applied economics letters"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of forecasting"
~subject:"Schätzung"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Schätzung
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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Gerlach, Richard
4
Jiang, Cuixia
3
Strobel, Frank
3
Xu, Qifa
3
Chen, Lu
2
Gatfaoui, Hayette
2
Storti, Giuseppe
2
Taylor, James W.
2
Wang, Chao
2
Agiakloglou, Christos N.
1
Akhter, Selim
1
Almudhaf, Fahad
1
Bei, Shuhua
1
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1
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1
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1
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Candelon, Bertrand
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Caporin, Massimiliano
1
Chan, Stephen
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Changqing, Luo
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Chen, Cathy W. S.
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Chen, Xiaohong
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1
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Applied economics letters
Economic modelling
Journal of forecasting
Insurance / Mathematics & economics
82
Journal of banking & finance
60
Finance research letters
53
Journal of risk
40
International review of financial analysis
38
International journal of forecasting
36
Risks : open access journal
35
The North American journal of economics and finance : a journal of financial economics studies
33
Discussion paper / Tinbergen Institute
31
Applied economics
29
Energy economics
29
Journal of econometrics
29
The journal of risk model validation
28
Journal of empirical finance
25
Quantitative finance
21
SFB 649 discussion paper
21
Working papers
21
Journal of financial econometrics
20
Journal of risk and financial management : JRFM
20
The journal of operational risk
20
International review of economics & finance : IREF
19
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Research in international business and finance
19
European journal of operational research : EJOR
17
Pacific-Basin finance journal
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Computational economics
14
Journal of international financial markets, institutions & money
14
The European journal of finance
13
CFS working paper series
11
Journal of financial stability
11
Journal of mathematical finance
11
Research paper series / Swiss Finance Institute
11
Scandinavian actuarial journal
11
International journal of theoretical and applied finance
10
Journal of economic dynamics & control
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Journal of risk management in financial institutions
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung
;
Wang, Jai Jen
- In:
Applied economics letters
15
(
2008
)
7/9
,
pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
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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