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~subject:"ARCH-Modell"
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Bericht der AG2: Risikomanagem...
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ARCH-Modell
Estimation
Risikomanagement
76
Risk management
76
Portfolio selection
40
Portfolio-Management
40
Risikomaß
40
Risk measure
40
Theorie
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32
risk management
23
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value-at-risk (VaR)
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Multivariate distribution
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Poddig, Thorsten
2
Abad, Pilar
1
Alemany, Ramon
1
Benito Muela, Sonia
1
Bolancé, Catalina
1
Braun, Valentin
1
Chen, Jiusheng
1
Cong, Jianfa
1
Cui, Xueting
1
Fieberg, Christian
1
Hackethal, Andreas
1
Kabaila, Paul
1
Li, Duan
1
López-Martín, Carmen
1
Lüdemann, Stefan
1
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Mertens, Richard Lennart
1
Muromachi, Yukio
1
Olschewsky, Michael
1
Padilla Barreto, Alemar E.
1
Sun, Xiaoling
1
Sánchez Granero, Miguel Angel
1
Tan, Ken Seng
1
Wang, Chengguo
1
Weiß, Gregor
1
Zhu, Shushang
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Journal of risk
Energy economics
17
Journal of air transport management
17
Journal of banking & finance
15
Economic modelling
14
Working paper / National Bureau of Economic Research, Inc.
13
International review of financial analysis
12
Finance research letters
11
Working papers
10
NBER working paper series
9
The North American journal of economics and finance : a journal of financial economics studies
9
Applied economics
8
Discussion paper / Centre for Economic Policy Research
8
NBER Working Paper
8
Journal of international financial markets, institutions & money
7
Risks : open access journal
7
SpringerLink / Bücher
7
The journal of risk model validation
7
Transportation research / E : an international journal
7
Gabler Edition Wissenschaft
6
Insurance / Mathematics & economics
6
International journal of finance & economics : IJFE
6
Journal of empirical finance
6
Journal of risk and financial management : JRFM
6
Quantitative finance
6
Research in international business and finance
6
Discussion paper / Tinbergen Institute
5
International journal of forecasting
5
International review of economics & finance : IREF
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Journal of econometrics
5
Journal of economic dynamics & control
5
Pacific-Basin finance journal
5
CESifo working papers
4
European journal of operational research : EJOR
4
Journal of economics & business
4
Journal of financial econometrics
4
Journal of financial economics
4
Journal of financial stability
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Journal of risk management in financial institutions
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ECONIS (ZBW)
11
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1
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
2
Forecasting corporate defaults in the German stock market
Mertens, Richard Lennart
;
Poddig, Thorsten
;
Fieberg, …
- In:
Journal of risk
20
(
2017/2018
)
6
,
pp. 29-54
Persistent link: https://www.econbiz.de/10011962407
Saved in:
3
Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
Saved in:
4
Portfolio risk forecasting
Braun, Valentin
;
Hackethal, Andreas
- In:
Journal of risk
16
(
2013/2014
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
Saved in:
5
Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa
;
Tan, Ken Seng
;
Wang, Chengguo
- In:
Journal of risk
16
(
2013/2014
)
3
,
pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
Saved in:
6
Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang
;
Cui, Xueting
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
Saved in:
7
Copula parameter estimation : numerical considerations and implications for risk management
Weiß, Gregor
- In:
Journal of risk
13
(
2010/11
)
1
,
pp. 17-53
Persistent link: https://www.econbiz.de/10008699157
Saved in:
8
Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael
;
Lüdemann, Stefan
;
Poddig, Thorsten
- In:
Journal of risk
18
(
2016
)
5
,
pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
Saved in:
9
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
10
Impact of D-Vine structure on risk estimation
Bolancé, Catalina
;
Alemany, Ramon
;
Padilla Barreto, …
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011914672
Saved in:
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