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~subject:"EVT"
~subject:"Kapitaleinkommen"
~subject:"Value-at-Risk"
~subject:"credit risk"
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EVT
Kapitaleinkommen
Value-at-Risk
credit risk
Risikomaß
7,521
Risk measure
7,499
Theorie
4,458
Theory
4,418
Kreditderivat
3,366
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3,363
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2,429
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2,215
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2,206
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1,488
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1,474
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1,256
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1,249
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1,210
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1,204
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1,097
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1,003
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1,000
Capital income
944
Multivariate Verteilung
878
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878
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779
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775
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702
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701
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McAleer, Michael
46
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22
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19
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17
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15
Daníelsson, Jón
15
Hammoudeh, Shawkat
15
Vries, Casper G. de
15
Wang, Ruodu
14
Mittnik, Stefan
13
Roszbach, Kasper
13
Hoogerheide, Lennart F.
12
Härdle, Wolfgang
11
Hoogerheide, Lennart
10
Lindé, Jesper
10
Stoja, Evarist
10
Dijk, Herman K. van
9
Jacobson, Tor
9
Paolella, Marc S.
9
Polanski, Arnold
9
Bali, Turan G.
8
Bauwens, Luc
8
Caporin, Massimiliano
8
Francq, Christian
8
Hautsch, Nikolaus
8
Härdle, Wolfgang Karl
8
Karmakar, Madhusudan
8
Kole, Erik
8
Koopman, Siem Jan
8
Puccetti, Giovanni
8
Rüschendorf, Ludger
8
Schienle, Melanie
8
Walther, Thomas
8
Wied, Dominik
8
Almeida, Caio
7
Asai, Manabu
7
Borowska, Agnieszka
7
Chen, Qian
7
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7
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7
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
26
HAL
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Business School, University of Sydney
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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International Monetary Fund (IMF)
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Sveriges Riksbank
5
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
4
Institute of Economic Research, Kyoto University
4
Université Paris-Dauphine (Paris IX)
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Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES)
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Department of Economics, University of Crete
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Economics Department, Fordham University
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Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit
3
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Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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3
de Nederlandsche Bank
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Banca d'Italia
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
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Departamento de Economía, Universidad Carlos III de Madrid
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Deutsche Bundesbank
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Institut ekonomických studií, Univerzita Karlova v Praze
2
Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel
2
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Insurance / Mathematics & economics
40
Journal of banking & finance
34
Finance research letters
31
International review of financial analysis
29
The North American journal of economics and finance : a journal of financial economics studies
29
Discussion paper / Tinbergen Institute
26
MPRA Paper
26
Applied economics
21
Tinbergen Institute Discussion Paper
21
Tinbergen Institute Discussion Papers
19
Risks : open access journal
18
Economic modelling
17
Energy economics
17
Journal of empirical finance
17
Research in international business and finance
17
International journal of forecasting
16
International review of economics & finance : IREF
15
Quantitative finance
15
Journal of econometrics
14
Journal of Banking & Finance
13
Journal of risk and financial management : JRFM
13
Journal of international financial markets, institutions & money
12
Journal of risk
12
CORE Discussion Papers
11
Journal of financial econometrics
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Insurance: Mathematics and Economics
10
International Journal of Theoretical and Applied Finance (IJTAF)
10
Research paper series / Swiss Finance Institute
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
The European journal of finance
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Economics letters
9
Journal of Risk and Financial Management
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Review of quantitative finance and accounting
9
Working paper
9
European journal of operational research : EJOR
8
Journal of financial economics
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ECONIS (ZBW)
1,315
RePEc
388
EconStor
95
BASE
15
Other ZBW resources
7
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date (oldest first)
1
Dependence in credit default swap and equity markets : dynamic
copula
with Markov-switching
Fei, Fei
;
Fuertes, Ana María
;
Kalotychou, Elena
- In:
International journal of forecasting
33
(
2017
)
3
,
pp. 662-678
Persistent link: https://www.econbiz.de/10011746197
Saved in:
2
Application of
copula
-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
3
Copula
-MGARCH with continuous covariance decomposition
Herwartz, Helmut
;
Raters, Fabian H. C.
- In:
Economics letters
133
(
2015
),
pp. 73-76
Persistent link: https://www.econbiz.de/10011431988
Saved in:
4
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
5
Estimating dynamic
copula
dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
6
A
copula
-GARCH model of conditional dependencies : estimating Tehran Market Stock Exchange value-at-risk
Shams, Sedigheh
;
Haghighi, Fatemeh K.
- In:
Journal of statistical and econometric methods
2
(
2013
)
2
,
pp. 39-50
based on fitting ARIMA, GARCH and ARMA-GARCH models and
copula
functions is applied. In such methodology, the dependency …
Persistent link: https://www.econbiz.de/10009769897
Saved in:
7
Is Bitcoin a better portfolio diversifier than gold? : a
copula
and sectoral analysis for China
Pho, Kim-Hung
;
Ly, Sel
;
Lu, Richard
;
Hoang, Thi Hong Van
; …
- In:
International review of financial analysis
74
(
2021
),
pp. 1-30
Persistent link: https://www.econbiz.de/10012803931
Saved in:
8
Dependency between risks and the insurer's economic capital : a
copula
-based GARCH model
Shim, Jeungbo
;
Lee, Seung-Hwan
- In:
Asia-Pacific journal of risk and insurance : APJRI
11
(
2017
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011671161
Saved in:
9
Estimating expected and unexpected losses for agricultural mortgage portfolios
Dressler, Jonathan B.
;
Tauer, Loren W.
- In:
American journal of agricultural economics
98
(
2016
)
5
,
pp. 1470-1485
Persistent link: https://www.econbiz.de/10011635556
Saved in:
10
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
Saved in:
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