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isPartOf:"CFS Working Paper Series"
~isPartOf:"Journal of empirical finance"
~subject:"Capital income"
~subject:"USA"
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Capital income
USA
Risikomaß
54
Risk measure
54
Theorie
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Theory
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ARCH model
27
ARCH-Modell
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Portfolio selection
18
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Bali, Turan G.
1
Bee, Marco
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Bi, Jia
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CFS Working Paper Series
Journal of empirical finance
International review of financial analysis
25
Journal of banking & finance
25
The North American journal of economics and finance : a journal of financial economics studies
23
Finance research letters
21
Insurance / Mathematics & economics
17
Energy economics
15
Journal of risk
15
Applied economics
13
International journal of forecasting
13
Research in international business and finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of financial economics
10
Journal of risk and financial management : JRFM
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Tinbergen Institute
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International review of economics & finance : IREF
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Journal of risk management in financial institutions
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Journal of international financial markets, institutions & money
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Risks : open access journal
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The journal of structured finance
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Agricultural finance review
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Applied financial economics
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Research paper series / Swiss Finance Institute
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The journal of asset management
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Working paper
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CORE discussion paper : DP
5
Economic modelling
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Economics letters
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Empirical economics : a quarterly journal of the Institute for Advanced Studies
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Finance and economics discussion series
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International journal of finance & economics : IJFE
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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1
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
2
Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables
Nonejad, Nima
- In:
Journal of empirical finance
70
(
2023
),
pp. 91-122
Persistent link: https://www.econbiz.de/10014423619
Saved in:
3
Value at risk, cross-sectional returns and the role of investor sentiment
Bi, Jia
;
Zhu, Yifeng
- In:
Journal of empirical finance
56
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012423148
Saved in:
4
Asset pricing with extreme liquidity risk
Wu, Ying
- In:
Journal of empirical finance
54
(
2019
),
pp. 143-165
Persistent link: https://www.econbiz.de/10012174793
Saved in:
5
Dynamic portfolio allocation with time-varying jump risk
Zhou, Chunyang
;
Wu, Chongfeng
;
Wang, Yudong
- In:
Journal of empirical finance
50
(
2019
),
pp. 113-124
Persistent link: https://www.econbiz.de/10012169946
Saved in:
6
Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of empirical finance
36
(
2016
),
pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
Saved in:
7
High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung
;
Changchien, Chang-Cheng
;
Kao, Tzu-Chuan
; …
- In:
Journal of empirical finance
29
(
2014
),
pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
Saved in:
8
Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg
;
Mitov, Georgi
;
Rüschendorf, Ludger
- In:
Journal of empirical finance
32
(
2015
),
pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
Saved in:
9
Dynamic copula models and high frequency data
De Lira Salvatierra, Irving Arturo
;
Patton, Andrew J.
- In:
Journal of empirical finance
30
(
2015
),
pp. 120-135
Persistent link: https://www.econbiz.de/10011489292
Saved in:
10
Skewness and leptokurtosis in GARCH-typed VaR estimation of petroleum and metal asset returns
Cheng, Wan-hsiu
;
Hung, Jui-cheng
- In:
Journal of empirical finance
18
(
2011
)
1
,
pp. 160-173
Persistent link: https://www.econbiz.de/10009301140
Saved in:
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