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Phillips, Peter C. B.
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99
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97
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89
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86
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83
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81
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80
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80
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80
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77
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77
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77
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76
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76
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76
Stock, James H.
74
Bera, Anil K.
73
Simar, Léopold
72
Su, Liangjun
72
Horowitz, Joel
71
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69
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Rutgers University / Department of Economics
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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European journal of operational research : EJOR
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The econometrics journal
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Journal of banking & finance
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Série des documents de travail / Centre de Recherche en Économie et Statistique
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Applied economics letters
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Journal of applied econometrics
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Applied economics
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
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Cowles Foundation discussion paper
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Economic modelling
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International journal of forecasting
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Discussion paper series / IZA
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Oxford bulletin of economics and statistics
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Discussion paper / Center for Economic Research, Tilburg University
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Discussion paper
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Finance research letters
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Working paper / Department of Econometrics and Business Statistics, Monash University
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Journal of quantitative economics : official journal of the Indian Econometric Society
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Journal of forecasting
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Econometrics : open access journal
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Risks : open access journal
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The review of economics and statistics
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USB Cologne (EcoSocSci)
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1
Estimation of distortion risk measures
Tsukahara, Hideatsu
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 213-235
Persistent link: https://www.econbiz.de/10010233598
Saved in:
2
Pro-cyclicality beyond business cycle
Bräutigam, Marcel
;
Dacorogna, Michel M.
;
Kratz, Marie
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 308-341
Persistent link: https://www.econbiz.de/10014278671
Saved in:
3
Computation and asymptotic properties of estimated coherent risk measures
Miller, D. J.
;
Kim, M.
- In:
Computational finance and its applications III : …
,
(pp. 175-184)
.
2008
Persistent link: https://www.econbiz.de/10003713310
Saved in:
4
Estimating portfolio value-at-risk via dynamic conditional correlation MGARCH model : an empirical study on foreign exchange rates
Hsu Ku, Yuan-Hung
;
Wang, Jai Jen
- In:
Applied economics letters
15
(
2008
)
7/9
,
pp. 533-538
Persistent link: https://www.econbiz.de/10003741298
Saved in:
5
Estimation of VaR using copula and extreme value theory
Hotta, L. K.
;
Lucas, E. C.
;
Palaro, H. P.
- In:
Multinational finance journal : MF ; quarterly …
12
(
2008
)
3/4
,
pp. 205-218
Persistent link: https://www.econbiz.de/10003744261
Saved in:
6
Dynamic quantile models
Gouriéroux, Christian
;
Jasiak, Joann
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 198-205
Persistent link: https://www.econbiz.de/10003783800
Saved in:
7
Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren
;
Staum, Jeremy
- In:
Journal of risk
11
(
2008/09
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
Saved in:
8
Alternative approaches to estimating VAR for hedge fund portfolios
Bali, Turan G.
;
Gokcan, Suleyman
- In:
Intelligent hedge fund investing
,
(pp. 253-277)
.
2004
Persistent link: https://www.econbiz.de/10003286901
Saved in:
9
Moment based approaches to value the risk of contingent claim portfolios
Iaquinta, Gaetano
;
Lamantia, Fabio
;
Massabò, Ivar
; …
-
2009
Persistent link: https://www.econbiz.de/10003811678
Saved in:
10
Semiparametric estimation of dynamic conditional expected shortfall models
Escanciano, Juan Carlos
;
Mayoral, Silvia
- In:
International journal of monetary economics and finance
1
(
2008
)
2
,
pp. 106-120
Persistent link: https://www.econbiz.de/10003822450
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