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subject:"ARCH model"
~isPartOf:"Journal of risk management in financial institutions"
~subject:"Statistical distribution"
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Broeders, Dirk
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Journal of risk management in financial institutions
Insurance / Mathematics & economics
82
Journal of banking & finance
48
Finance research letters
41
International journal of forecasting
40
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37
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36
Journal of empirical finance
34
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The North American journal of economics and finance : a journal of financial economics studies
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Discussion paper / Tinbergen Institute
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International review of financial analysis
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Journal of econometrics
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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1
Estimating Value-at-Risk and expected shortfall of metal commodities : application of GARCH-EVT method
Khan, Maaz
;
Khan, Mrestyal
;
Irfan, Muhammad
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
2
,
pp. 189-199
Persistent link: https://www.econbiz.de/10014286674
Saved in:
2
Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha
- In:
Journal of risk management in financial institutions
12
(
2019
)
3
,
pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
Saved in:
3
On the definition of risk
Lemos, Filipe
- In:
Journal of risk management in financial institutions
13
(
2019/2020
)
3
,
pp. 266-278
Persistent link: https://www.econbiz.de/10012300957
Saved in:
4
A methodology for actively managing tail risks and uncertainties
Broeders, Dirk
;
Loman, Herwin
;
Toor, Joris van
- In:
Journal of risk management in financial institutions
12
(
2018/2019
)
1
,
pp. 44-56
Persistent link: https://www.econbiz.de/10012041835
Saved in:
5
How valuable is your VaR? : large sample confidence intervals for normal VaR
Moraux, Franck
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
2
,
pp. 189-200
Persistent link: https://www.econbiz.de/10009154314
Saved in:
6
Market BuVaR : a countercyclical risk metric
Wong, Max
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
3
,
pp. 419-432
Persistent link: https://www.econbiz.de/10009508301
Saved in:
7
The gentle proposal : a model of applied defoult probabilities and GARCH volatility
Corelli, Angelo
- In:
Journal of risk management in financial institutions
4
(
2010/11
)
1
,
pp. 46-56
Persistent link: https://www.econbiz.de/10008905799
Saved in:
8
Using truncated Lévy flight to estimate downside risk
Xiong, James X.
- In:
Journal of risk management in financial institutions
3
(
2009/10
)
3
,
pp. 231-242
Persistent link: https://www.econbiz.de/10003991439
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