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Kapitaleinkommen
Risikomaß
41
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Bollerslev, Tim
1
Chan, Thomas W. C.
1
Chen, Rong
1
Chu, Amanda M. Y.
1
Duong, Diep
1
Fan, Jianqing
1
Francq, Christian
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Ke, Yuan
1
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Nicolau, João
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Polak, Pawel
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1
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1
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1
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1
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1
Wang, Yulong
1
Xiao, Zhijie
1
Zakoïan, Jean-Michel
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Journal of econometrics
Finance research letters
25
International review of financial analysis
24
The North American journal of economics and finance : a journal of financial economics studies
24
Journal of banking & finance
21
Insurance / Mathematics & economics
18
Applied economics
17
Energy economics
15
Journal of empirical finance
14
International review of economics & finance : IREF
12
Research in international business and finance
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International journal of forecasting
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of international financial markets, institutions & money
11
Journal of risk
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Quantitative finance
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Journal of financial econometrics
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Discussion paper / Tinbergen Institute
9
Economic modelling
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Journal of financial economics
8
Journal of forecasting
8
Journal of risk and financial management : JRFM
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Pacific-Basin finance journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
8
Review of quantitative finance and accounting
7
Risks : open access journal
7
Econometric Institute research papers
6
Economics letters
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Research paper series / Swiss Finance Institute
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The journal of asset management
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Working paper
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Econometric reviews
5
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
5
Empirical economics : a quarterly journal of the Institute for Advanced Studies
5
International journal of finance & economics : IJFE
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Investment management and financial innovations
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Journal of economic dynamics & control
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1
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
2
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
3
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
4
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
5
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
6
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
7
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
8
Estimation and inference about tail features with tail censored data
Wang, Yulong
;
Xiao, Zhijie
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10013463894
Saved in:
9
Tail index estimation in the presence of covariates : stock returns' tail risk dynamics
Nicolau, João
;
Rodrigues, Paulo M. M.
;
Stoykov, Marian Z.
- In:
Journal of econometrics
235
(
2023
)
2
,
pp. 2266-2284
Persistent link: https://www.econbiz.de/10014471455
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