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source:"econis"
~isPartOf:"Applied economics"
~subject:"ARCH-Modell"
~subject:"Schätztheorie"
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Search: subject_exact:"Risk measure"
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ARCH-Modell
Schätztheorie
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH model
20
Portfolio selection
20
Portfolio-Management
20
Estimation
18
Schätzung
18
Risiko
15
Risk
15
Statistical distribution
15
Statistische Verteilung
15
Risikomanagement
14
Risk management
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Volatilität
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Multivariate distribution
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Outliers
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Capital income
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Forecasting model
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Prognoseverfahren
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extreme value theory
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Hedging
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Aktienmarkt
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Emerging economies
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Blazsek, Szabolcs
3
Monteros, Luis Antonio
2
Wang, Yi-Hsien
2
Abuzayed, Bana
1
Al-Fayoumi, Nedal
1
Allen, David E.
1
Alqahtani, Faisal
1
Bollen, Bernard
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Diao, Xundi
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Ding, Jin
1
Díaz Hernández, Adán
1
Fan, Hai
1
He, Chaohua
1
He, Yingchen
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Ho, Han-Chiang
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Hung, Jui-Cheng
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Nolasco Jáuregui, Oralia
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Pan, Xiao
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Park, Sumin
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Powell, Robert
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Qin, Xiao
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Quezada-Téllez, Luis Alberto
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Salazar Flores, Yuri
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Applied economics
Journal of risk
34
Insurance / Mathematics & economics
29
Journal of banking & finance
29
Energy economics
28
Finance research letters
28
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
International journal of forecasting
23
Economic modelling
21
The journal of risk model validation
20
Journal of econometrics
19
Journal of risk and financial management : JRFM
19
Working papers
17
International review of financial analysis
15
Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Journal of forecasting
15
Risks : open access journal
14
Computational economics
12
Discussion paper / Tinbergen Institute
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
International review of economics & finance : IREF
11
Journal of financial econometrics
11
Quantitative finance
11
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Journal of international financial markets, institutions & money
9
The European journal of finance
9
Econometric Institute research papers
8
European journal of operational research : EJOR
8
Journal of mathematical finance
8
SFB 649 discussion paper
8
Applied economics letters
7
CORE discussion paper : DP
7
International journal of economics and financial issues : IJEFI
7
International journal of theoretical and applied finance
7
Pacific-Basin finance journal
7
Research paper series / Swiss Finance Institute
7
Review of quantitative finance and accounting
7
Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
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1
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
2
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
3
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
4
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
5
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
6
Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
He, Chaohua
;
Li, Guangchen
;
Fan, Hai
;
Wei, Weixian
- In:
Applied economics
53
(
2021
)
11
,
pp. 1249-1263
Persistent link: https://www.econbiz.de/10012485170
Saved in:
7
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
Saved in:
8
Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos
;
Tiwari, Aviral Kumar
;
Alqahtani, Faisal
- In:
Applied economics
52
(
2020
)
24
,
pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
Saved in:
9
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
Saved in:
10
Pricing and hedging options with GARCH-stable proxy volatilities
Mozumder, Sharif
;
Kabir, Humayun
;
Dempsey, Michael
- In:
Applied economics
50
(
2018
)
56
,
pp. 6034-6046
Persistent link: https://www.econbiz.de/10012063384
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