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subject:"Prognoseverfahren"
~isPartOf:"Journal of financial econometrics"
~subject:"Theory"
~subject:"USA"
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Prognoseverfahren
Theory
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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density forecasts
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Ausín, M. Concepción
1
Bagnato, Luca
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Chen Zhou
1
Galeano, Pedro
1
Hambuckers, Julien
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Hoga, Yannick
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Kim, Minjoo
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Li, Guofu
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Oordt, Maarten R. C. van
1
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Peng, Shige
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Pettenuzzo, Davide
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Punzo, Antonio
1
Shin, Yongcheol
1
Smith, Aaron D.
1
Stander, Julian
1
Wong, Woon K.
1
Yang, Shuzhen
1
Yao, Jianfeng
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Yun, Jaeho
1
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Journal of financial econometrics
Insurance / Mathematics & economics
141
Journal of econometrics
92
Discussion paper / Tinbergen Institute
84
International journal of forecasting
77
Risks : open access journal
60
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
58
Economics letters
50
European journal of operational research : EJOR
47
Journal of forecasting
42
Journal of banking & finance
38
Working paper / National Bureau of Economic Research, Inc.
35
Econometric reviews
34
Scandinavian actuarial journal
32
International journal of theoretical and applied finance
31
Economic modelling
30
Applied economics letters
28
Statistical papers
28
Applied economics
27
Working paper
27
Discussion paper / Center for Economic Research, Tilburg University
26
Journal of applied econometrics
26
Journal of empirical finance
26
Econometric theory
25
Working papers
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Finance research letters
24
International review of financial analysis
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NBER Working Paper
24
Quantitative finance
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SFB 649 discussion paper
24
The European journal of finance
24
Astin bulletin : the journal of the International Actuarial Association
23
Journal of economic theory
23
NBER working paper series
23
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
22
Journal of economic dynamics & control
21
Research paper series / Swiss Finance Institute
20
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
20
Computational economics
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Operations research
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Operations research letters
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ECONIS (ZBW)
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1
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
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2
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:
3
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:
4
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:
5
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:
6
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:
7
A GMM skewness and kurtosis ratio test for higher moment dependence
Wong, Woon K.
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 307-332
Persistent link: https://www.econbiz.de/10012232960
Saved in:
8
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:
9
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:
10
Hidden Markov and Semi-Markov models with multivariate leptokurtic-normal components for robust modeling of daily returns series
Maruotti, Antonello
;
Punzo, Antonio
;
Bagnato, Luca
- In:
Journal of financial econometrics
17
(
2019
)
1
,
pp. 91-117
Persistent link: https://www.econbiz.de/10012054429
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