//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~language:"eng"
~subject:"ARCH model"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
TWO-COMPONENT EXTREME VALUE DI...
Similar by subject
Narrow search
Delete all filters
| 6 applied filters
Year of publication
From:
To:
Subject
All
ARCH model
Statistical distribution
Systemrisiko
Risikomaß
74
Risk measure
74
Forecasting model
39
Prognoseverfahren
39
Theorie
33
Theory
33
ARCH-Modell
21
Portfolio selection
20
Portfolio-Management
20
Statistische Verteilung
15
Volatility
14
Volatilität
14
Risiko
13
Risk
13
Measurement
11
Messung
11
Risikomanagement
11
Risk management
11
value at risk
11
Capital income
10
Estimation
10
Kapitaleinkommen
10
Schätzung
10
expected shortfall
9
Financial crisis
8
Finanzkrise
8
Systemic risk
8
value-at-risk
8
Time series analysis
7
Welt
7
World
7
Zeitreihenanalyse
7
Multivariate Verteilung
6
Multivariate distribution
6
VAR model
6
VAR-Modell
6
Ausreißer
5
more ...
less ...
Online availability
All
Undetermined
12
Free
3
Type of publication
All
Article
36
Type of publication (narrower categories)
All
Article in journal
36
Aufsatz in Zeitschrift
36
Language
All
English
Author
All
Strobel, Frank
3
Chen, Cathy W. S.
2
Gerlach, Richard
2
Lin, Edward M. H.
2
Wang, Chao
2
Ardia, David
1
Caporin, Massimiliano
1
Chan, Stephen
1
Chen, Shan
1
Cheng, Wai-yan
1
Cheng, Yihan
1
Choe, Geon Ho
1
Choi, Ji-Eun
1
Choi, Pilsun
1
Choi, So Eun
1
Chong, James
1
Choudhry, Taufiq
1
Da Veiga, Bernardo
1
Dempsey, Michael
1
Dendramis, Yiannis
1
Diao, Xundi
1
Fatnassi, Ibrahim
1
Hammami, Yacine
1
Hoogerheide, Lennart F.
1
Hsu Ku, Yuan-Hung
1
Hu, Yu-pin
1
Huang, Chuangxia
1
Huang, Hai
1
Huang, Tara F. J.
1
Huang, Wei-Qiang
1
Iqbal, Farhat
1
Jang, Hyun Jin
1
Jiang, Cuixia
1
Kabir, M. Humayun
1
Ke, Tsung-han
1
Li, Chenxing
1
Liu, Peipei
1
Liu, Shuting
1
Liu, Zhifeng
1
Louzis, Dimitrios P.
1
more ...
less ...
Published in...
All
Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
84
Journal of banking & finance
63
Finance research letters
58
Energy economics
42
International journal of forecasting
40
Journal of risk
39
Economic modelling
38
Risks : open access journal
35
The North American journal of economics and finance : a journal of financial economics studies
35
International review of financial analysis
34
Journal of empirical finance
34
Applied economics
31
The journal of risk model validation
31
Discussion paper / Tinbergen Institute
30
Journal of econometrics
29
Journal of risk and financial management : JRFM
26
Working papers
24
International review of economics & finance : IREF
22
Quantitative finance
22
Research in international business and finance
21
The journal of operational risk
20
Pacific-Basin finance journal
18
SFB 649 discussion paper
18
Computational economics
17
European journal of operational research : EJOR
17
Journal of financial econometrics
17
The European journal of finance
17
Journal of international financial markets, institutions & money
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Econometric Institute research papers
12
Research paper series / Swiss Finance Institute
12
Journal of mathematical finance
11
Journal of risk management in financial institutions
11
Risk management : a journal of risk, crisis and disaster
11
Swiss Finance Institute Research Paper
11
more ...
less ...
Source
All
ECONIS (ZBW)
36
Showing
1
-
10
of
36
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
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
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:
3
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:
4
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:
5
Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
Saved in:
6
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:
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
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:
9
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
Saved in:
10
On the evaluation of marginal expected shortfall
Caporin, Massimiliano
;
Santucci de Magistris, Paolo
- In:
Applied economics letters
19
(
2012
)
1/3
,
pp. 175-179
Persistent link: https://www.econbiz.de/10009412621
Saved in:
1
2
3
4
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->