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subject:"Forecasting model"
~isPartOf:"Journal of financial econometrics"
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Forecasting model
Statistical distribution
22
Statistische Verteilung
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Capital income
10
Kapitaleinkommen
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Theorie
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expected shortfall
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value-at-risk
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density forecasts
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tail dependence
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Cai, Charlie X.
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Hoga, Yannick
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Li, Guofu
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Metaxoglou, Kostantinos
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Pan, Shenyi
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Peng, Shige
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Smith, Aaron D.
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Journal of financial econometrics
International journal of forecasting
73
Journal of forecasting
38
Discussion paper / Tinbergen Institute
25
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
Journal of econometrics
19
Journal of banking & finance
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Working paper / Norges Bank
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Economic modelling
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Working paper series / European Central Bank
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Journal of applied econometrics
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International review of economics & finance : IREF
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Risks : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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The North American journal of economics and finance : a journal of financial economics studies
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1
Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Pan, Shenyi
;
Joe, Harry
;
Li, Guofu
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 714-741
Persistent link: https://www.econbiz.de/10014314788
Saved in:
2
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
3
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
Saved in:
4
Density forecast evaluations via a simulation-based dynamic probability integral transformation
Yun, Jaeho
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 24-58
Persistent link: https://www.econbiz.de/10012180381
Saved in:
5
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
6
Option-implied equity premium predictions via entropic tilting
Metaxoglou, Kostantinos
;
Pettenuzzo, Davide
;
Smith, Aaron D.
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 559-586
Persistent link: https://www.econbiz.de/10012149844
Saved in:
7
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
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