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subject:"ARCH-Modell"
subject:"Volatilität"
~isPartOf:"The journal of risk model validation"
~type_genre:"Article in journal"
~type_genre:"Sammelwerk"
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ARCH-Modell
Volatilität
Estimation theory
15
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7
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Arhus, Gisle Hoel
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The journal of risk model validation
Journal of econometrics
141
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
57
Econometric theory
48
Economics letters
38
Econometric reviews
31
Journal of empirical finance
29
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The econometrics journal
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Economic modelling
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International journal of forecasting
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Finance research letters
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Journal of financial econometrics
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Quantitative finance
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International journal of economics and financial issues : IJEFI
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International journal of theoretical and applied finance
13
Journal of risk
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Journal of risk and financial management : JRFM
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The North American journal of economics and finance : a journal of financial economics studies
13
Applied 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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Econometrics : open access journal
12
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
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Applied economics letters
10
Finance and stochastics
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The European journal of finance
8
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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International journal of financial engineering
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Annals of financial economics
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Asia-Pacific financial markets
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CBN journal of applied statistics
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ECONIS (ZBW)
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1
What can we expect from a good margin model? : observations from whole-distribution tests of risk-based initial margin models
Murphy, David
- In:
The journal of risk model validation
17
(
2023
)
2
,
pp. 59-81
Persistent link: https://www.econbiz.de/10014485769
Saved in:
2
Old-fashioned parametric models are still the best : a comparison of value-at-risk approaches in several volatility states
Buczy´nski, Mateusz
;
Chlebus, Marcin
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10014335934
Saved in:
3
An empirical evaluation of large dynamic covariance models in portfolio value-at-risk estimation
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
The journal of risk model validation
14
(
2020
)
2
,
pp. 21-39
Persistent link: https://www.econbiz.de/10014335946
Saved in:
4
The use of range-based volatility estimators in testing for Granger causality in risk on international capital markets
Fałdziński, Marcin
;
Osińska, Magdalena
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014335988
Saved in:
5
Value-at-risk in the European energy market : a comparison of parametric, historical simulation and quantile regression value-at-risk
Westgaard, Sjur
;
Arhus, Gisle Hoel
;
Frydenberg, Marina
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012373160
Saved in:
6
Testing value-at-risk models in emerging markets during crises : a case study on South Eastern European countries
Radivojevic, Nikola
;
Curcic, Nikola
;
Milojkovic, Dragana
; …
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 57-81
Persistent link: https://www.econbiz.de/10011527481
Saved in:
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