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accessRights:"restricted"
subject:"Deutschland"
~isPartOf:"The journal of risk model validation"
~subject:"Volatilität"
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Estimation theory
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6
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Estimation
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Buczy´nski, Mateusz
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Chlebus, Marcin
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Fałdziński, Marcin
1
Lange, Petter Eilif de
1
Law, Keith K. F.
1
Li, Wai Keung
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Murphy, David
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The journal of risk model validation
Journal of econometrics
74
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
17
International journal of forecasting
14
Finance research letters
13
Econometric reviews
12
Economics letters
12
Quantitative finance
12
Journal of financial econometrics
11
Journal of empirical finance
10
Economic modelling
9
The North American journal of economics and finance : a journal of financial economics studies
9
Econometric theory
8
Computational economics
6
Journal of banking & finance
6
SpringerLink / Bücher
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Decisions in economics and finance : DEF ; a journal of applied mathematics
5
Discussion paper / Centre for Economic Policy Research
5
Discussion papers / CEPR
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Journal of forecasting
5
Journal of mathematical finance
5
Journal of quantitative economics
5
Journal of risk
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The econometrics journal
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Energy economics
4
Finance and stochastics
4
International journal of financial engineering
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Theoretical economics letters
4
Applied economics
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
3
European journal of operational research : EJOR
3
IIMB management review
3
International journal of theoretical and applied finance
3
International review of economics & finance : IREF
3
Journal of time series econometrics
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Oxford bulletin of economics and statistics
3
The European journal of finance
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Afro-Asian Journal of Finance and Accounting : AAJFA
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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
Estimating value-at-risk using quantile regression and implied volatilities
Lange, Petter Eilif de
;
Risstad, Morten
;
Westgaard, Sjur
- In:
The journal of risk model validation
16
(
2022
)
1
,
pp. 53-76
Persistent link: https://www.econbiz.de/10014540547
Saved in:
3
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:
4
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:
5
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:
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