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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~isPartOf:"The journal of risk model validation"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
~subject:"Volatilität"
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TWO-COMPONENT EXTREME VALUE DI...
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Statistical distribution
Systemrisiko
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Applied economics letters
Journal of forecasting
The journal of risk model validation
Insurance / Mathematics & economics
79
Finance research letters
61
Journal of banking & finance
60
Energy economics
48
The North American journal of economics and finance : a journal of financial economics studies
45
International journal of forecasting
38
International review of financial analysis
38
Risks : open access journal
36
Economic modelling
34
Journal of risk
34
Discussion paper / Tinbergen Institute
31
Applied economics
30
Journal of empirical finance
28
Journal of econometrics
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International review of economics & finance : IREF
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Quantitative finance
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The journal of operational risk
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European journal of operational research : EJOR
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SFB 649 discussion paper
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Journal of financial econometrics
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
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Computational economics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Research in international business and finance
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Econometric Institute research papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International journal of theoretical and applied finance
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Journal of mathematical finance
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Research paper series / Swiss Finance Institute
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Swiss Finance Institute Research Paper
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Scandinavian actuarial journal
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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
Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie
;
Westgaard, Sjur
;
Gjølberg, Ole
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
Saved in:
3
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
4
Value-at-risk time scaling : a Monte Carlo approach
Malataliana, Moepa
;
Rigotard, Michael
- In:
The journal of risk model validation
10
(
2016
)
1
,
pp. 47-57
Persistent link: https://www.econbiz.de/10011485151
Saved in:
5
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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6
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:
7
Volatility forecasting with double Markov switching GARCH models
Chen, Cathy W. S.
;
So, Mike Ka-pui
;
Lin, Edward M. H.
- In:
Journal of forecasting
28
(
2009
)
8
,
pp. 681-697
Persistent link: https://www.econbiz.de/10003918204
Saved in:
8
Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
Saved in:
9
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
Saved in:
10
Extreme value analysis of electricity demand in the UK
Chan, Stephen
;
Nadarajah, Saralees
- In:
Applied economics letters
22
(
2015
)
13/15
,
pp. 1246-1251
Persistent link: https://www.econbiz.de/10011312714
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