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isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
subject:"Volatility"
~isPartOf:"The journal of risk model validation"
~subject:"Correlation"
~subject:"Risikomaß"
~type_genre:"Article in journal"
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Search: subject_exact:"Estimation theory"
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Volatility
Correlation
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Estimation theory
88
Schätztheorie
88
Estimation
22
Schätzung
22
Time series analysis
22
Zeitreihenanalyse
22
Volatilität
21
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18
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Corsi, Fulvio
2
Francq, Christian
2
Horváth, Lajos
2
Zakoïan, Jean-Michel
2
Ahlgren, Niklas
1
Andreou, Alena
1
Antell, Jan
1
Arhus, Gisle Hoel
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Biljon, L. van
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1
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1
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1
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1
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1
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1
Fan, Yingying
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
The journal of risk model validation
Journal of econometrics
169
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
79
Economics letters
50
Econometric reviews
31
Journal of empirical finance
28
Econometric theory
27
Insurance / Mathematics & economics
26
Journal of banking & finance
26
Finance research letters
25
Journal of risk
25
Journal of financial econometrics
24
Quantitative finance
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
The econometrics journal
21
International journal of forecasting
20
Journal of the American Statistical Association : JASA
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Econometrics : open access journal
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Computational economics
17
Economic modelling
17
International journal of theoretical and applied finance
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Journal of forecasting
17
Applied economics letters
14
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
Risks : open access journal
12
European journal of operational research : EJOR
11
Journal of mathematical finance
11
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
10
Cambridge working papers in economics
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
9
Finance and stochastics
9
International journal of economics and financial issues : IJEFI
9
The European journal of finance
9
CBN journal of applied statistics
7
Decisions in economics and finance : DEF ; a journal of applied mathematics
7
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
7
International journal of financial engineering
7
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ECONIS (ZBW)
41
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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
Quantification of the estimation risk inherent in loss distribution approach models
Panman, Kevin
;
Biljon, L. van
;
Haasbroek, L. J.
; …
- In:
The journal of risk model validation
13
(
2019
)
4
,
pp. 17-41
Persistent link: https://www.econbiz.de/10012373158
Saved in:
6
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:
7
Combining multivariate volatility forecasts: an economic-based approach
Caldeira, João F.
;
Moura, Guilherme Valle
;
Nogales, …
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 247-285
Persistent link: https://www.econbiz.de/10011987429
Saved in:
8
Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
9
The use of the triangular approximation for some complicated risk measurement calculations
Georgiopoulos, Nick
- In:
The journal of risk model validation
11
(
2017
)
3
,
pp. 69-98
Persistent link: https://www.econbiz.de/10011762994
Saved in:
10
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
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