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~subject:"EVT"
~subject:"Schätzung"
~subject:"Value-at-Risk"
~subject:"credit risk"
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EVT
Schätzung
Value-at-Risk
credit risk
Risikomaß
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947
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779
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McAleer, Michael
47
Chang, Chia-Lin
23
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22
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20
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18
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17
Daníelsson, Jón
16
Vries, Casper G. de
16
Mittnik, Stefan
15
Wang, Ruodu
15
Ardia, David
13
Roszbach, Kasper
13
Paolella, Marc S.
12
Stoja, Evarist
12
Escanciano, Juan Carlos
11
Chlebus, Marcin
10
Francq, Christian
10
Hoogerheide, Lennart
10
Kratz, Marie
10
Lindé, Jesper
10
Lucas, André
10
Dijk, Herman K. van
9
Duffie, Darrell
9
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9
Hoogerheide, Lennart F.
9
Härdle, Wolfgang Karl
9
Jacobson, Tor
9
Kaserer, Christoph
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9
Ravazzolo, Francesco
9
Rösch, Daniel
9
Bai, Jennie
8
Powell, Robert
8
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8
Scharth, Marcel
8
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8
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8
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8
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8
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institute of Economic Research, Kyoto University
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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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Laboratoire d'Économie d'Orléans (LEO), Faculté de droit, d'économie et de gestion
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Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
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Institut de Recerca en Economia Aplicada (IREA), Facultat d'Economia i Empresa
2
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Journal of banking & finance
40
Finance research letters
35
Insurance / Mathematics & economics
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Economic modelling
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The North American journal of economics and finance : a journal of financial economics studies
31
Applied economics
29
International review of financial analysis
29
Discussion paper / Tinbergen Institute
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MPRA Paper
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Journal of risk
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Journal of econometrics
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Journal of empirical finance
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Risks : open access journal
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International journal of forecasting
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Energy economics
21
International review of economics & finance : IREF
21
Research in international business and finance
20
Tinbergen Institute Discussion Paper
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Tinbergen Institute Discussion Papers
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Quantitative finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The journal of risk model validation
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Journal of international financial markets, institutions & money
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Journal of risk and financial management : JRFM
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Journal of Banking & Finance
13
Management science : journal of the Institute for Operations Research and the Management Sciences
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Working papers
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CFS working paper series
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CORE Discussion Papers
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Economics letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Working paper
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Insurance: Mathematics and Economics
10
International Journal of Theoretical and Applied Finance (IJTAF)
10
Journal of mathematical finance
10
Pacific-Basin finance journal
10
Research paper series / Swiss Finance Institute
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Working paper / National Bureau of Economic Research, Inc.
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European journal of operational research : EJOR
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ECONIS (ZBW)
1,830
RePEc
388
EconStor
103
BASE
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Other ZBW resources
7
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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
Liquidity tail risk and credit default swap spreads
Irresberger, Felix
;
Weiß, Gregor
;
Gabrysch, Janet
; …
- In:
European journal of operational research : EJOR
269
(
2018
)
3
,
pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
Saved in:
4
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:
5
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:
6
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:
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
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