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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
~subject:"Volatility"
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TWO-COMPONENT EXTREME VALUE DI...
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ARCH model
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Risikomaß
74
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74
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39
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39
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33
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3
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1
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
84
Journal of banking & finance
71
Finance research letters
67
Energy economics
57
The North American journal of economics and finance : a journal of financial economics studies
48
Journal of risk
45
International journal of forecasting
44
International review of financial analysis
42
Economic modelling
40
Risks : open access journal
38
Journal of empirical finance
37
Applied economics
35
The journal of risk model validation
35
Discussion paper / Tinbergen Institute
34
Journal of econometrics
30
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30
International review of economics & finance : IREF
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24
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
19
SFB 649 discussion paper
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
Econometric Institute research papers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Journal of financial econometrics
17
Research paper series / Swiss Finance Institute
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Journal of mathematical finance
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Scandinavian actuarial journal
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Swiss Finance Institute Research Paper
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International journal of theoretical and applied finance
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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
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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
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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
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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
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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
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