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Markov chain
Risikomaß
41
Risk measure
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Borowska, Agnieszka
1
Calvet, Laurent E.
1
Chavez-Demoulin, V.
1
Creal, Drew
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Czellar, Veronika
1
Dijk, Herman K. van
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Polak, Pawel
1
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1
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1
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Journal of econometrics
European journal of operational research : EJOR
7
Quantitative finance
6
International journal of forecasting
5
Journal of empirical finance
5
Risks : open access journal
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
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International journal of theoretical and applied finance
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International review of financial analysis
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International journal of financial engineering and risk management
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Journal / The Capco Institute : journal of financial transformation
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Afro-Asian Journal of Finance and Accounting : AAJFA
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ECONIS (ZBW)
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1
Partially censored posterior for robust and efficient risk evaluation
Borowska, Agnieszka
;
Hoogerheide, Lennart
;
Koopman, Siem Jan
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 335-355
Persistent link: https://www.econbiz.de/10012482776
Saved in:
2
Through the looking glass : indirect inference via simple equilibria
Calvet, Laurent E.
;
Czellar, Veronika
- In:
Journal of econometrics
185
(
2015
)
2
,
pp. 343-358
Persistent link: https://www.econbiz.de/10011348430
Saved in:
3
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
4
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:
5
High dimensional dynamic stochastic
copula
models
Creal, Drew
;
Tsay, Ruey S.
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 335-345
Persistent link: https://www.econbiz.de/10011504544
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