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subject:"ARCH-Modell"
~person:"Degiannakis, Stavros"
~type:"article"
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ARCH-Modell
Risikomaß
9
Risk measure
9
ARCH model
8
Forecasting model
7
Prognoseverfahren
7
Volatility
5
Volatilität
5
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3
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Value-at-risk
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Degiannakis, Stavros
Francq, Christian
7
Giot, Pierre
7
Paolella, Marc S.
7
Su, Jung-bin
7
Zakoïan, Jean-Michel
7
Ardia, David
6
Karmakar, Madhusudan
6
Liu, Hung-Chun
6
Zarangas, Leonidas P.
6
Chen, Cathy W. S.
5
Kang, Sang Hoon
5
McMillan, David G.
5
Mensi, Walid
5
Tiwari, Aviral Kumar
5
Walther, Thomas
5
Weiß, Gregor
5
Aloui, Chaker
4
Barone-Adesi, Giovanni
4
Bee, Marco
4
Blazsek, Szabolcs
4
Chlebus, Marcin
4
Floros, Christos
4
Gerlach, Richard
4
Hammoudeh, Shawkat
4
Huang, Zhuo
4
Kim, Young Shin
4
Kok Haur Ng
4
Kumar, Dilip
4
Lönnbark, Carl
4
Mabrouk, Samir
4
Mora-Valencia, Andrés
4
Naimoli, Antonio
4
Olmo, Jose
4
Paul, Samit
4
Perote, Javier
4
Račev, Svetlozar T.
4
So, Mike Ka-pui
4
Stavroyiannis, Stavros
4
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4
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International review of financial analysis
2
Journal of economic studies
1
Journal of international financial markets, institutions & money
1
Managerial finance
1
Research in international business and finance
1
Review of quantitative finance and accounting
1
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ECONIS (ZBW)
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1
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros
;
Potamia, Artemis
- In:
International review of financial analysis
49
(
2017
),
pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
Saved in:
2
A Monte Carlo simulation approach to forecasting multi-period value-at-risk and expected shortfall using the FIGARCH-SKT specification
Degiannakis, Stavros
;
Dent, Pamela
;
Floros, Christos
- In:
The Manchester School
82
(
2014
)
1
,
pp. 71-102
Persistent link: https://www.econbiz.de/10010419583
Saved in:
3
Multivariate modelling of 10-day-ahead VaR and dynamic correlation for worldwide real estate and stock indices
Degiannakis, Stavros
;
Kiohos, Apostolos
- In:
Journal of economic studies
41
(
2014
)
2
,
pp. 216-232
Persistent link: https://www.econbiz.de/10010259271
Saved in:
4
Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Dent, Pamela
- In:
International review of financial analysis
27
(
2013
),
pp. 21-33
Persistent link: https://www.econbiz.de/10009736952
Saved in:
5
Modeling CAC40 volatility using ultra-high frequency data
Degiannakis, Stavros
;
Floros, Christos
- In:
Research in international business and finance
28
(
2013
),
pp. 68-81
Persistent link: https://www.econbiz.de/10009725156
Saved in:
6
Evaluating value-at-risk models before and after the financial crisis of 2008 : international evidence
Degiannakis, Stavros
;
Floros, Christos
;
Livada, Alexandra
- In:
Managerial finance
38
(
2012
)
4
,
pp. 436-452
Persistent link: https://www.econbiz.de/10009530921
Saved in:
7
Volatility forecasting : intra-day versus inter-day models
Angelidis, Timotheos
;
Degiannakis, Stavros
- In:
Journal of international financial markets, …
18
(
2008
)
5
,
pp. 449-465
Persistent link: https://www.econbiz.de/10003775710
Saved in:
8
A robust VaR model under different time periods and weighting schemes
Angelidis, Timotheos
;
Benos, Alexandros Vassiliou
; …
- In:
Review of quantitative finance and accounting
28
(
2007
)
2
,
pp. 187-201
Persistent link: https://www.econbiz.de/10003492794
Saved in:
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