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~isPartOf:"Journal of forecasting"
~subject:"Statistical distribution"
~subject:"expected shortfall"
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TWO-COMPONENT EXTREME VALUE DI...
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Statistical distribution
expected shortfall
Risikomaß
74
Risk measure
74
Forecasting model
39
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39
Theorie
33
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33
ARCH model
21
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Applied economics letters
Journal of forecasting
Insurance / Mathematics & economics
76
Journal of banking & finance
30
Risks : open access journal
28
International journal of forecasting
25
Discussion paper / Tinbergen Institute
24
Journal of risk
21
The journal of operational risk
20
Finance research letters
19
Applied economics
18
Journal of risk and financial management : JRFM
17
Economic modelling
16
Journal of econometrics
16
Journal of financial econometrics
16
Journal of empirical finance
15
Scandinavian actuarial journal
14
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14
International review of financial analysis
13
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12
SFB 649 discussion paper
12
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11
European journal of operational research : EJOR
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International journal of theoretical and applied finance
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9
Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
9
International review of economics & finance : IREF
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of risk management in financial institutions
8
Pacific-Basin finance journal
7
Mathematical finance : an international journal of mathematics, statistics and financial economics
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Risks
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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
Saved in:
7
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:
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
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
Saved in:
10
Conditional density and value-at-risk prediction of Asian currency exchange rates
Mittnik, Stefan
;
Paolella, Marc S.
- In:
Journal of forecasting
19
(
2000
)
4
,
pp. 313-333
Persistent link: https://www.econbiz.de/10001504659
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