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isPartOf:"The journal of fixed income"
~isPartOf:"International journal of forecasting"
~subject:"ARCH model"
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Search: subject_exact:"Conditional value at risk"
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ARCH model
Risikomaß
67
Risk measure
67
Forecasting model
45
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24
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The journal of fixed income
International journal of forecasting
Energy economics
28
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Finance research letters
22
Journal of risk
22
Economic modelling
21
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
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The journal of risk model validation
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Working papers
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Journal of forecasting
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International review of economics & finance : IREF
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Journal of econometrics
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of international financial markets, institutions & money
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Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The European journal of finance
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Applied economics letters
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CORE discussion paper : DP
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Computational economics
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Insurance / Mathematics & economics
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International journal of economics and financial issues : IJEFI
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Journal of mathematical finance
7
Pacific-Basin finance journal
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Quantitative finance
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Research paper series / Swiss Finance Institute
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Risk management : a journal of risk, crisis and disaster
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CFS working paper series
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Review of quantitative finance and accounting
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Annals of financial economics
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
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2
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
3
Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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4
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
5
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
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6
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
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7
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
8
Forecasting value at risk with intra-day return curves
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
Saved in:
9
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
10
Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos
- In:
International journal of forecasting
35
(
2019
)
3
,
pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
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