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~isPartOf:"Applied economics letters"
~isPartOf:"Journal of forecasting"
~subject:"Financial crisis"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
~subject:"expected shortfall"
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TWO-COMPONENT EXTREME VALUE DI...
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Financial crisis
Statistical distribution
Systemrisiko
expected shortfall
Risikomaß
74
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74
Forecasting model
39
Prognoseverfahren
39
Theorie
33
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33
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21
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Strobel, Frank
3
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2
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2
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2
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2
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1
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
78
Journal of banking & finance
55
Finance research letters
38
Discussion paper / Tinbergen Institute
37
Risks : open access journal
34
Economic modelling
29
International review of financial analysis
27
Journal of risk
27
International journal of forecasting
25
Applied economics
24
Journal of risk and financial management : JRFM
23
The North American journal of economics and finance : a journal of financial economics studies
23
Journal of econometrics
21
The journal of operational risk
21
Energy economics
18
European journal of operational research : EJOR
17
International review of economics & finance : IREF
17
SFB 649 discussion paper
17
The journal of risk model validation
17
Journal of financial econometrics
16
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15
Journal of international financial markets, institutions & money
15
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15
The European journal of finance
15
Scandinavian actuarial journal
14
International journal of theoretical and applied finance
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Pacific-Basin finance journal
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Computational economics
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Research in international business and finance
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Journal of financial stability
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Astin bulletin : the journal of the International Actuarial Association
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ECONIS (ZBW)
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1
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
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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
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:
6
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
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7
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:
8
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
- In:
Journal of forecasting
32
(
2013
)
3
,
pp. 267-288
Persistent link: https://www.econbiz.de/10009758640
Saved in:
9
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
Saved in:
10
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
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