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source:"econis"
~isPartOf:"Journal of econometrics"
~subject:"Credit risk"
~subject:"Schätzung"
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Credit risk
Schätzung
Risikomaß
41
Risk measure
41
Theorie
21
Theory
21
Estimation
15
Statistical distribution
15
Statistische Verteilung
15
Portfolio selection
13
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13
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12
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Francq, Christian
3
Zakoïan, Jean-Michel
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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
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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
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1
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1
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Journal of econometrics
Journal of banking & finance
45
Journal of risk
33
The North American journal of economics and finance : a journal of financial economics studies
25
Finance research letters
24
Risks : open access journal
21
The journal of risk model validation
21
Economic modelling
19
Insurance / Mathematics & economics
19
International review of financial analysis
19
The journal of credit risk : published quarterly by Incisive Media
19
Applied economics
18
Discussion paper / Tinbergen Institute
18
Energy economics
17
International journal of forecasting
17
Journal of empirical finance
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of international financial markets, institutions & money
13
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
Journal of risk management in financial institutions
12
Research in international business and finance
12
International review of economics & finance : IREF
11
Journal of risk and financial management : JRFM
11
Quantitative finance
11
Working papers
10
International journal of theoretical and applied finance
9
Journal of financial econometrics
9
Management science : journal of the Institute for Operations Research and the Management Sciences
9
Pacific-Basin finance journal
9
Research paper series / Swiss Finance Institute
9
School of Accounting, Finance and Economics & FEMARC working paper series
9
SpringerLink / Bücher
9
CFS working paper series
8
Computational economics
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Discussion paper / Deutsche Bundesbank
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Econometric Institute research papers
8
European journal of operational research : EJOR
8
Journal of economic dynamics & control
8
Journal of financial services research : JFSR
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
2
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
3
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
4
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
5
Network quantile autoregression
Zhu, Xuening
;
Wang, Weining
;
Wang, Hansheng
;
Härdle, …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
Saved in:
6
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
9
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
10
VAR for VaR: measuring tail dependence using multivariate regression quantiles
White, Halbert
;
Kim, Tae-hwan
;
Manganelli, Simone
- In:
Journal of econometrics
187
(
2015
)
1
,
pp. 169-188
Persistent link: https://www.econbiz.de/10011498808
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