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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
~subject:"expected shortfall"
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TWO-COMPONENT EXTREME VALUE DI...
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ARCH model
Statistical distribution
Systemrisiko
expected shortfall
Risikomaß
74
Risk measure
74
Forecasting model
39
Prognoseverfahren
39
Theorie
33
Theory
33
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21
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3
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2
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1
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
84
Journal of banking & finance
63
Finance research letters
57
Energy economics
42
Journal of risk
41
International journal of forecasting
40
Economic modelling
38
Risks : open access journal
38
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
33
Discussion paper / Tinbergen Institute
32
Journal of risk and financial management : JRFM
31
The journal of risk model validation
31
Journal of econometrics
29
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24
International review of economics & finance : IREF
22
Quantitative finance
22
Research in international business and finance
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SFB 649 discussion paper
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The European journal of finance
18
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European journal of operational research : EJOR
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Pacific-Basin finance journal
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
15
International journal of theoretical and applied finance
13
Research paper series / Swiss Finance Institute
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Econometric Institute research papers
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Journal of risk management in financial institutions
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Journal of mathematical finance
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Risk management : a journal of risk, crisis and disaster
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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
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
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:
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
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
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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8
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:
9
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:
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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