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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"ARCH model"
~subject:"Statistical distribution"
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TWO-COMPONENT EXTREME VALUE DI...
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ARCH model
Statistical distribution
Risikomaß
74
Risk measure
74
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39
Prognoseverfahren
39
Theorie
33
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33
ARCH-Modell
21
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Chen, Cathy W. S.
2
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
82
Journal of banking & finance
48
Finance research letters
41
International journal of forecasting
40
Energy economics
38
Journal of risk
36
Journal of empirical finance
34
Economic modelling
31
Applied economics
30
The North American journal of economics and finance : a journal of financial economics studies
30
Risks : open access journal
29
The journal of risk model validation
29
Discussion paper / Tinbergen Institute
25
Journal of econometrics
25
International review of financial analysis
23
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20
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International review of economics & finance : IREF
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Research in international business and finance
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SFB 649 discussion paper
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Scandinavian actuarial journal
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Econometric Institute research papers
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of international financial markets, institutions & money
12
Pacific-Basin finance journal
12
Research paper series / Swiss Finance Institute
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Journal of mathematical finance
10
Swiss Finance Institute Research Paper
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Astin bulletin : the journal of the International Actuarial Association
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International journal of economics and financial issues : IJEFI
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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
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
The role of high-frequency intra-daily data, daily range and implied volatility in multi-period value-at-risk forecasting
Louzis, Dimitrios P.
;
Xanthopoulos-Sisinis, Spyros
; …
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 561-576
Persistent link: https://www.econbiz.de/10009789559
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