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Extreme volatility dependence...
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Fabozzi, Frank J.
130
Maurer, Raimond
77
Platen, Eckhard
59
Gollier, Christian
54
Uppal, Raman
49
Guidolin, Massimo
47
Korn, Ralf
45
Ang, Andrew
42
Mitchell, Olivia S.
42
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39
Satchell, Stephen
39
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Bodie, Zvi
28
Van Wincoop, Eric
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27
Kane, Alex
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Lioui, Abraham
27
Račev, Svetlozar T.
27
Zhou, Guofu
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Albrecht, Peter
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Branger, Nicole
26
Engle, Robert F.
26
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National Bureau of Economic Research
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Institute of Finance and Accounting <London>
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Frank J. Fabozzi Associates <New Hope, Pa.>
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Center for Economic Research <Tilburg>
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Université catholique de Louvain / Institut de recherches économiques et sociales <1941-1960>
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Springer Fachmedien Wiesbaden
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Universität Zürich / Institut für Schweizerisches Bankwesen
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European University Institute / Department of Law
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International Center for Financial Asset Management and Engineering
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Rodney L. White Center for Financial Research
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Association of European Operational Research Societies / Working Group on Financial Modelling
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Fachverlag für Wirtschafts- und Steuerrecht Schäffer <Stuttgart>
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Universität Mannheim
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Friedrich-Schiller-Universität Jena
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Goethe-Universität Frankfurt am Main
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Judge Institute of Management Studies
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Nationalekonomiska Institutionen <Lund>
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World Bank
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Association for Investment Management and Research
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Bonn Graduate School of Economics
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Ekonomiska forskningsinstitutet <Stockholm>
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Erasmus Research Institute of Management
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Federal Reserve Bank of St. Louis
3
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3
International Association for the Study of Insurance Economics
3
Johannes Gutenberg-Universität Mainz
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Københavns Universitet / Økonomisk Institut
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Martin-Luther-Universität Halle-Wittenberg / Wirtschaftswissenschaftliche Fakultät
3
Springer-Verlag GmbH
3
The Wharton Financial Institutions Center
3
Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
3
University of Canterbury / Dept. of Economics and Finance
3
Banco Central do Brasil
2
Bank für Internationalen Zahlungsausgleich
2
Basel Committee on Banking Supervision
2
Birkbeck College / Department of Economics
2
Books on Demand GmbH <Norderstedt>
2
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Insurance / Mathematics & economics
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European journal of operational research : EJOR
275
Journal of banking & finance
271
NBER working paper series
253
Working paper / National Bureau of Economic Research, Inc.
212
NBER Working Paper
201
Finance research letters
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Journal of economic dynamics & control
180
Mathematical finance : an international journal of mathematics, statistics and financial theory
154
Finance and stochastics
153
International journal of theoretical and applied finance
147
Research paper series / Swiss Finance Institute
135
Quantitative finance
126
Journal of financial economics
114
Journal of empirical finance
110
Risks : open access journal
106
The journal of portfolio management : a publication of Institutional Investor
106
The journal of finance : the journal of the American Finance Association
104
Management science : journal of the Institute for Operations Research and the Management Sciences
102
The review of financial studies
102
The journal of asset management
99
International review of financial analysis
98
Economic modelling
96
Swiss Finance Institute Research Paper
95
International review of economics & finance : IREF
94
The North American journal of economics and finance : a journal of financial economics studies
93
Discussion paper / Centre for Economic Policy Research
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Economics letters
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Applied economics
84
Journal of risk and financial management : JRFM
80
The European journal of finance
80
Computational economics
72
Mathematics and financial economics
72
The journal of portfolio management : JPM
71
Mathematical methods of operations research
70
Discussion paper / Tinbergen Institute
68
SpringerLink / Bücher
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Journal of mathematical finance
63
Annals of finance
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ECONIS (ZBW)
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EconStor
191
USB Cologne (EcoSocSci)
14
OLC EcoSci
10
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1
Extreme co-movements and dependencies among major international exchange rates : a copula approach
Albulescu, Claudiu Tiberiu
;
Aubin, Christian
;
Goyeau, Daniel
- In:
The quarterly review of economics and finance : journal …
69
(
2018
),
pp. 56-69
Persistent link: https://www.econbiz.de/10012034997
Saved in:
2
On mutual funds-of-ETFs asset allocation with rebalancing : sample covariance versus EWMA and GARCH
Xidonas, Panos
;
Tsionas, Mike
;
Zopounidis, Constantin
-
2020
Persistent link: https://www.econbiz.de/10012165614
Saved in:
3
How can long memory in
volatility
be eliminated in portfolio optimization : an empirical evidence using copulas
Mzoughi, Hela
;
Mansouri, Fayçal
- In:
Journal of quantitative economics : official journal of …
11
(
2013
)
1/2
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010338365
Saved in:
4
Forecasting value-at-risk and expected shortfall in large portfolios : a general dynamic factor approach
Hallin, Marc
;
Trucios, Carlos
-
2020
Persistent link: https://www.econbiz.de/10012437084
Saved in:
5
The economic value of
volatility
timing with realized jumps
Nolte, Ingmar
;
Xu, Qi
- In:
Journal of empirical finance
34
(
2015
),
pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
Saved in:
6
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value
theory
-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
7
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
8
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
9
Forecasting conditional covariance matrices in high-dimensional time series : a general dynamic factor approach
Trucíos, Carlos
;
Mazzeu, João H. G.
;
Hallin, Marc
; …
-
2019
Persistent link: https://www.econbiz.de/10012064776
Saved in:
10
On the modelling and forecasting of multivariate realized
volatility
: generalized heterogeneous autoregressive (GHAR) model
Čech, František
;
Baruník, Jozef
- In:
Journal of forecasting
36
(
2017
)
2
,
pp. 181-206
Persistent link: https://www.econbiz.de/10011729136
Saved in:
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