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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"Capital income"
~subject:"Portfolio selection"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Capital income
Portfolio selection
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Systemrisiko
Risikomaß
74
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74
Forecasting model
39
Prognoseverfahren
39
Theorie
33
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21
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Strobel, Frank
4
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3
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2
Polanski, Arnold
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Pérez Amaral, Teodosio
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2
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
148
Journal of banking & finance
105
Finance research letters
83
Journal of risk
72
European journal of operational research : EJOR
68
Risks : open access journal
67
International review of financial analysis
56
Quantitative finance
49
Economic modelling
48
The North American journal of economics and finance : a journal of financial economics studies
46
Discussion paper / Tinbergen Institute
44
International journal of forecasting
36
Journal of risk and financial management : JRFM
36
Energy economics
35
Applied economics
34
Journal of empirical finance
33
The journal of risk model validation
33
The European journal of finance
30
Journal of econometrics
28
Research in international business and finance
28
International journal of theoretical and applied finance
27
International review of economics & finance : IREF
27
Computational economics
26
Journal of economic dynamics & control
26
Research paper series / Swiss Finance Institute
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The journal of operational risk
23
Working papers
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Scandinavian actuarial journal
21
Journal of international financial markets, institutions & money
20
Management science : journal of the Institute for Operations Research and the Management Sciences
20
SFB 649 discussion paper
19
Finance and stochastics
18
Journal of financial econometrics
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Journal of risk management in financial institutions
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Operations research
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Pacific-Basin finance journal
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1
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:
2
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:
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
Single-index and portfolio models for forecasting value-at-risk thresholds
McAleer, Michael
;
Da Veiga, Bernardo
- In:
Journal of forecasting
27
(
2008
)
3
,
pp. 217-235
Persistent link: https://www.econbiz.de/10003738590
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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
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7
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:
8
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:
9
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:
10
Improving Hull and White's method of estimating portfolio value-at-risk
Changchien, Chang-cheng
;
Lin, Chu-Hsiung
;
Yang, …
- In:
Journal of forecasting
31
(
2012
)
8
,
pp. 706-720
Persistent link: https://www.econbiz.de/10009722640
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