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subject:"Volatility"
type_genre:"Article in journal"
~isPartOf:"Asia-Pacific financial markets"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
~subject:"Commodity derivative"
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Search: subject_exact:"Estimation theory"
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Volatility
ARCH model
Commodity derivative
Estimation theory
47
Schätztheorie
47
Risikomaß
21
Risk measure
21
Estimation
15
Schätzung
15
Portfolio selection
14
Portfolio-Management
14
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expected shortfall (ES)
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19
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Abad, Pilar
1
Abramov, Vyacheslav M.
1
Ardia, David
1
Benito Muela, Sonia
1
Berens, Tobias
1
Biscay, R. J.
1
Butler, Andrew
1
Cipra, Tomáš
1
Feng, Yuanhua
1
Gatarek, Lukasz
1
Goldman, Elena
1
Hendrych, Radek
1
Hoogerheide, Lennart
1
Jacquier, Antoine
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1
Kabaila, Paul
1
Kato, Takashi
1
Klebaner, Fima C.
1
Kumari, Jyoti
1
Kunitomo, Naoto
1
Kurisu, Daisuke
1
Kwon, Roy H.
1
Lamb, John D.
1
Letmathe, Sebastian
1
Luger, Richard
1
López-Martín, Carmen
1
Mahakud, Jitendra
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Qiao, Xiao
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Sekine, Jun
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Shen, Xiangjin
1
Sánchez Granero, Miguel Angel
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Tee, Kaihong
1
Uhde, André
1
Wang, Yongning
1
Weiß, Gregory N. F.
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Asia-Pacific financial markets
Journal of risk
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
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
23
The econometrics journal
20
Economic modelling
19
International journal of forecasting
18
Finance research letters
17
Journal of banking & finance
17
Journal of financial econometrics
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Journal of forecasting
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Quantitative finance
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International journal of economics and financial issues : IJEFI
13
International journal of theoretical and applied finance
13
Journal of risk and financial management : JRFM
13
The North American journal of economics and finance : a journal of financial economics studies
13
Applied economics
12
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
12
Econometrics : open access journal
12
Applied economics letters
11
Computational economics
11
Journal of mathematical finance
11
Journal of time series econometrics
11
Finance and stochastics
8
The European journal of finance
8
Empirical economics : a quarterly journal of the Institute for Advanced Studies
7
International Journal of Energy Economics and Policy : IJEEP
7
Journal of economic dynamics & control
7
Applied financial economics
6
Cogent economics & finance
6
Decisions in economics and finance : DEF ; a journal of applied mathematics
6
International journal of financial engineering
6
The journal of risk model validation
6
Annals of financial economics
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ECONIS (ZBW)
19
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1
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian
;
Feng, Yuanhua
;
Uhde, André
- In:
Journal of risk
25
(
2022
)
2
,
pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Saved in:
2
A two-component realized exponential generalized autoregressive conditional heteroscedasticity model
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Journal of risk
24
(
2022
)
6
,
pp. 61-92
Persistent link: https://www.econbiz.de/10013549674
Saved in:
3
Correlated idiosyncratic volatility shocks
Qiao, Xiao
;
Wang, Yongning
- In:
Journal of risk
23
(
2021
)
5
,
pp. 25-54
Persistent link: https://www.econbiz.de/10012630868
Saved in:
4
Covariance estimation for risk-based portfolio optimization : an integrated approach
Butler, Andrew
;
Kwon, Roy H.
- In:
Journal of risk
24
(
2021
)
2
,
pp. 11-41
Persistent link: https://www.econbiz.de/10013284828
Saved in:
5
Procyclicality mitigation for initial margin models with asymmetric volatility
Goldman, Elena
;
Shen, Xiangjin
- In:
Journal of risk
22
(
2019/2020
)
5
,
pp. 1-41
Persistent link: https://www.econbiz.de/10012421684
Saved in:
6
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
7
Recursive estimation of the exponentially weighted moving average model
Hendrych, Radek
;
Cipra, Tomáš
- In:
Journal of risk
21
(
2018/2019
)
6
,
pp. 43-67
Persistent link: https://www.econbiz.de/10012117479
Saved in:
8
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
9
Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul
;
Mainzer, Rheanna
- In:
Journal of risk
20
(
2017/2018
)
3
,
pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
Saved in:
10
A new bootstrap test for multiple assets joint risk testing
Ardia, David
;
Gatarek, Lukasz
;
Hoogerheide, Lennart
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011710231
Saved in:
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