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subject:"Prognoseverfahren"
~isPartOf:"Journal of financial econometrics"
~subject:"Korrelation"
~subject:"USA"
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Prognoseverfahren
Korrelation
USA
Statistical distribution
22
Statistische Verteilung
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12
Risk measure
12
Capital income
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Kapitaleinkommen
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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.
1
Cai, Yuzhi
1
Hoga, Yannick
1
Joe, Harry
1
Kim, Minjoo
1
Li, Guofu
1
Liu, Jinjing
1
Lucas, André
1
Metaxoglou, Kostantinos
1
Opschoor, Anne
1
Pan, Shenyi
1
Peng, Shige
1
Pettenuzzo, Davide
1
Shin, Yongcheol
1
Smith, Aaron D.
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Stander, Julian
1
Yang, Shuzhen
1
Yao, Jianfeng
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Yun, Jaeho
1
Zhang, Qi
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Journal of financial econometrics
International journal of forecasting
75
Journal of forecasting
39
Discussion paper / Tinbergen Institute
37
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
26
Journal of econometrics
25
Journal of banking & finance
19
Journal of applied econometrics
14
Economic modelling
13
Working paper / National Bureau of Economic Research, Inc.
13
Working paper / Norges Bank
13
Federal Reserve Bank of Cleveland working paper series
12
Insurance / Mathematics & economics
12
Working paper
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Applied economics letters
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Research paper series / Swiss Finance Institute
11
Swiss Finance Institute Research Paper
11
Working paper series / European Central Bank
11
Economics letters
10
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
The European journal of finance
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Applied economics
9
Discussion paper series / IZA
9
Econometrics : open access journal
9
Risks : open access journal
9
The review of economics and statistics
9
Working papers
9
Applied financial economics
8
CESifo working papers
8
ECB Working Paper
8
Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
8
Energy economics
8
Finance research letters
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International review of financial analysis
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Quantitative finance
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The journal of futures markets
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American journal of agricultural economics
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CAMA working paper series
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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
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
Fractional integration and fat tails for realized covariance kernels
Opschoor, Anne
;
Lucas, André
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 66-90
Persistent link: https://www.econbiz.de/10012054426
Saved in:
9
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
Saved in:
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