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~isPartOf:"Journal of forecasting"
~subject:"Prognoseverfahren"
~subject:"Statistical distribution"
~subject:"Systemrisiko"
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TWO-COMPONENT EXTREME VALUE DI...
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Prognoseverfahren
Statistical distribution
Systemrisiko
Risikomaß
74
Risk measure
74
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39
Theorie
33
Theory
33
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21
ARCH-Modell
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expected shortfall
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McAleer, Michael
4
Chen, Cathy W. S.
3
Gerlach, Richard
3
Lin, Edward M. H.
3
Strobel, Frank
3
Da Veiga, Bernardo
2
Jiang, Cuixia
2
Pérez Amaral, Teodosio
2
Wang, Chao
2
Xu, Qifa
2
Almudhaf, Fahad
1
Apergēs, Nikolaos
1
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Arteche, Josu
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1
Chen, Shan
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Choi, Ji-Eun
1
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Fatnassi, Ibrahim
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
81
Finance research letters
59
International journal of forecasting
54
Journal of banking & finance
52
Risks : open access journal
40
Discussion paper / Tinbergen Institute
38
International review of financial analysis
33
Journal of risk
29
Journal of empirical finance
27
The journal of risk model validation
27
Economic modelling
26
Journal of econometrics
26
Energy economics
24
The North American journal of economics and finance : a journal of financial economics studies
24
Applied economics
23
Quantitative finance
23
European journal of operational research : EJOR
20
Journal of financial econometrics
20
SFB 649 discussion paper
20
The journal of operational risk
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Journal of risk and financial management : JRFM
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Computational economics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
International review of economics & finance : IREF
17
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Research in international business and finance
16
Pacific-Basin finance journal
15
The European journal of finance
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Working papers
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Econometric Institute research papers
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Journal of risk management in financial institutions
14
Journal of international financial markets, institutions & money
12
Research paper series / Swiss Finance Institute
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Journal of economic dynamics & control
11
Scandinavian actuarial journal
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Astin bulletin : the journal of the International Actuarial Association
10
Journal of financial stability
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ECONIS (ZBW)
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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
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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
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3
Bayesian assessment of dynamic quantile forecasts
Gerlach, Richard
;
Chen, Cathy W. S.
;
Lin, Edward M. H.
- In:
Journal of forecasting
35
(
2016
)
8
,
pp. 751-764
Persistent link: https://www.econbiz.de/10011633826
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4
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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5
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:
6
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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7
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:
8
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:
9
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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10
Evaluating predictive performance of value-at-risk models in emerging markets : a reality check
Bao, Yong
;
Lee, Tae-hwy
;
Saltoǧlu, Burak
- In:
Journal of forecasting
25
(
2006
)
2
,
pp. 101-128
Persistent link: https://www.econbiz.de/10003309378
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