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Search: subject_exact:"Conditional value at risk"
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Kim, Young Shin
2
Weiß, Gregor
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Alexander, Carol
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Anand, Abhinav
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Aramonte, Sirio
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Audrino, Francesco
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Bali, Turan G.
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The journal of fixed income
Journal of banking & finance
Energy economics
28
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Finance research letters
22
International journal of forecasting
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Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
2
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle
;
Santos, André A. P.
;
Ruiz, Esther
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Saved in:
3
Volatility tail risk under fractionality
Morelli, Giacomo
;
Santucci de Magistris, Paolo
- In:
Journal of banking & finance
108
(
2019
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012224753
Saved in:
4
Downside risk and stock returns in the G7 countries : an empirical analysis of their long-run and short-run dynamics
Chen, Yi-Hsuan
;
Chiang, Thomas C.
;
Härdle, Wolfgang
- In:
Journal of banking & finance
93
(
2018
),
pp. 21-32
Persistent link: https://www.econbiz.de/10011964613
Saved in:
5
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio
;
Ergün, Tolga A.
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3169-3180
Persistent link: https://www.econbiz.de/10009778470
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6
Foster-Hart optimal portfolios
Anand, Abhinav
;
Li, Tiantian
;
Kurosaki, Tetsuo
;
Kim, …
- In:
Journal of banking & finance
68
(
2016
),
pp. 117-130
Persistent link: https://www.econbiz.de/10011634807
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7
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
8
Industry characteristics and financial risk contagion
Chiu, Wan-chien
;
Peña Sánchez de Rivera, Juan Ignacio
; …
- In:
Journal of banking & finance
50
(
2015
),
pp. 411-427
Persistent link: https://www.econbiz.de/10010509513
Saved in:
9
Risk models-at-risk
Boucher, Christophe
;
Daníelsson, Jón
;
Kouontchou, …
- In:
Journal of banking & finance
44
(
2014
),
pp. 72-92
Persistent link: https://www.econbiz.de/10010410376
Saved in:
10
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor
;
Supper, Hendrik
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
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