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subject:"Risk measure"
~isPartOf:"Journal of econometrics"
~isPartOf:"Journal of financial econometrics"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
ARCH model
181
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181
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91
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Francq, Christian
4
Zakoïan, Jean-Michel
4
Bee, Marco
1
Cai, Charlie X.
1
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1
Chan, Ngai Hang
1
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Journal of econometrics
Journal of financial econometrics
Energy economics
29
Finance research letters
28
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Journal of risk
23
International journal of forecasting
22
Economic modelling
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Applied economics
20
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18
International review of financial analysis
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Journal of risk and financial management : JRFM
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International review of economics & finance : IREF
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of international financial markets, institutions & money
9
The European journal of finance
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Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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Risk management : a journal of risk, crisis and disaster
7
CFS working paper series
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Review of quantitative finance and accounting
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Annals of financial economics
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ECONIS (ZBW)
19
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1
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:
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
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
4
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
5
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
6
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
7
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
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
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
10
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
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