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~isPartOf:"Energy economics"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"ARCH model"
~subject:"Share price"
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Bayesian Tail Risk Forecasting...
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ARCH model
Share price
Risk management
158
Risikomanagement
150
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141
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141
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118
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118
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Gupta, Rangan
3
Hammoudeh, Shawkat
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Ma, Feng
3
Mensi, Walid
3
Al-Jarrah, Idries Mohammad Wanas
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Al-Yahyaee, Khamis Hamed
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2
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2
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2
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2
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2
Malik, Farooq
2
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2
Ryu, Doojin
2
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2
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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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1
Alves, Isabel Fraga
1
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1
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1
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1
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Energy economics
The North American journal of economics and finance : a journal of financial economics studies
Finance research letters
60
Applied economics
47
Journal of banking & finance
47
Journal of empirical finance
44
Economic modelling
43
Journal of econometrics
43
Journal of risk and financial management : JRFM
41
International review of financial analysis
37
International review of economics & finance : IREF
33
Research in international business and finance
31
International journal of forecasting
29
Journal of risk
28
Discussion paper / Tinbergen Institute
27
Journal of international financial markets, institutions & money
27
Applied economics letters
22
Economics letters
22
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22
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The European journal of finance
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of forecasting
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Quantitative finance
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Computational economics
18
The journal of risk model validation
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
Risks : open access journal
16
CESifo working papers
15
International journal of economics and finance
15
Research paper series / Swiss Finance Institute
15
Review of quantitative finance and accounting
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Journal of international money and finance
14
Journal of mathematical finance
14
Pacific-Basin finance journal
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International journal of finance & economics : IJFE
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Cogent economics & finance
12
International Journal of Financial Studies : open access journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
116
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1
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
Saved in:
2
Selection of value at risk models for energy commodities
Laporta, Alessandro G.
;
Merlo, Luca
;
Petrella, Lea
- In:
Energy economics
74
(
2018
),
pp. 628-643
Persistent link: https://www.econbiz.de/10011972948
Saved in:
3
Credit and market risks measurement in carbon financing for Chinese banks
Zhang, Xi
;
Li, Jian
- In:
Energy economics
76
(
2018
),
pp. 549-557
Persistent link: https://www.econbiz.de/10011976726
Saved in:
4
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
5
EVT and tail-risk modelling : evidence from market indices and volatility series
Allen, David E.
;
Singh, Abhay Kumar
;
Powell, Robert
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 355-369
Persistent link: https://www.econbiz.de/10010367580
Saved in:
6
Moments expansion densities for quantifying financial risk
Ñíguez, Trino-Manuel
;
Perote, Javier
- In:
The North American journal of economics and finance : a …
42
(
2017
),
pp. 53-69
Persistent link: https://www.econbiz.de/10011938073
Saved in:
7
Time-varying mixture
GARCH
models and asymmetric volatility
Haas, Markus
;
Krause, Jochen
;
Paolella, Marc S.
; …
- In:
The North American journal of economics and finance : a …
26
(
2013
),
pp. 602-623
Persistent link: https://www.econbiz.de/10010370491
Saved in:
8
A TVM-Copula-MIDAS-
GARCH
model with applications to VaR-based portfolio selection
Jiang, Cuixia
;
Ding, Xiaoyi
;
Xu, Qifa
;
Tong, Yongbo
- In:
The North American journal of economics and finance : a …
51
(
2020
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012659611
Saved in:
9
Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
- In:
Energy economics
56
(
2016
),
pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
Saved in:
10
GARCH
models, tail indexes and error distributions : an empirical investigation
Horváth, Roman
;
Šopov, Boril
- In:
The North American journal of economics and finance : a …
37
(
2016
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011672845
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