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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"Ausreißer"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Ausreißer
Statistical distribution
Systemrisiko
Risikomaß
74
Risk measure
74
Forecasting model
39
Prognoseverfahren
39
Theorie
33
Theory
33
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21
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value at risk
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expected shortfall
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Strobel, Frank
3
Gerlach, Richard
2
Wang, Chao
2
Berger, Theo
1
Caporin, Massimiliano
1
Chan, Stephen
1
Chen, Shan
1
Cheng, Yihan
1
Choe, Geon Ho
1
Choi, Pilsun
1
Choi, So Eun
1
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1
Dempsey, Michael
1
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1
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1
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Jiang, Cuixia
1
Kabir, M. Humayun
1
Li, Chenxing
1
Liu, Peipei
1
Liu, Shuting
1
Liu, Zhifeng
1
Lu, Zu-di
1
Lönnbark, Carl
1
Maheu, John M.
1
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Min, Insik
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Mittnik, Stefan
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
85
Journal of banking & finance
47
Finance research letters
38
Risks : open access journal
34
Economic modelling
31
International review of financial analysis
30
International journal of forecasting
29
Discussion paper / Tinbergen Institute
28
Journal of risk
25
The journal of operational risk
24
Energy economics
21
Journal of econometrics
21
Applied economics
20
Journal of empirical finance
20
The North American journal of economics and finance : a journal of financial economics studies
20
SFB 649 discussion paper
18
The journal of risk model validation
18
Quantitative finance
17
European journal of operational research : EJOR
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Journal of financial econometrics
16
Journal of risk and financial management : JRFM
16
International review of economics & finance : IREF
15
Pacific-Basin finance journal
14
The European journal of finance
14
Journal of international financial markets, institutions & money
13
Working papers
13
Computational economics
12
Research in international business and finance
12
Journal of financial stability
11
Scandinavian actuarial journal
11
Astin bulletin : the journal of the International Actuarial Association
10
Journal of risk management in financial institutions
10
Swiss Finance Institute Research Paper
10
International journal of theoretical and applied finance
9
Journal of mathematical finance
9
Research paper series / Swiss Finance Institute
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Exponentially smoothing the skewed laplace distribution for value-at-risk forecasting
Gerlach, Richard
;
Lu, Zu-di
;
Huang, Hai
- In:
Journal of forecasting
32
(
2013
)
6
,
pp. 534-550
Persistent link: https://www.econbiz.de/10009789677
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7
Too non-traditional to fail? : determinants of systemic risk for BRICs banks
Qin, Xiao
;
Zhu, Xi
- In:
Applied economics letters
21
(
2014
)
4/6
,
pp. 261-264
Persistent link: https://www.econbiz.de/10010413856
Saved in:
8
Bank insolvency risk and Z-score measures with unimodal returns
Strobel, Frank
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1683-1685
Persistent link: https://www.econbiz.de/10009383375
Saved in:
9
Bank insolvency risk and different approaches to aggregate Z-score measures : a note
Strobel, Frank
- In:
Applied economics letters
18
(
2011
)
16/18
,
pp. 1541-1543
Persistent link: https://www.econbiz.de/10009383445
Saved in:
10
Incorporating higher moments into value-at-risk forecasting
Polanski, Arnold
;
Stoja, Evarist
- In:
Journal of forecasting
29
(
2010
)
6
,
pp. 523-535
Persistent link: https://www.econbiz.de/10008935468
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