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subject:"Risk measure"
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Search: subject_exact:"GARCH-Modell"
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Risk measure
Stochastic process
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147
ARCH-Modell
147
Volatility
66
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66
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56
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50
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Francq, Christian
6
Zakoïan, Jean-Michel
6
Paolella, Marc S.
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Li, Guodong
2
McAleer, Michael
2
Polak, Pawel
2
Xiu, Dacheng
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Amengual, Dante
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Andreou, Elena
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Asai, Manabu
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Journal of econometrics
Energy economics
37
Journal of empirical finance
36
Finance research letters
33
The North American journal of economics and finance : a journal of financial economics studies
29
International journal of forecasting
26
Journal of banking & finance
25
Discussion paper / Tinbergen Institute
24
Economic modelling
24
Journal of risk
23
Applied economics
22
Journal of risk and financial management : JRFM
21
International review of financial analysis
19
The journal of risk model validation
18
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16
Journal of forecasting
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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International review of economics & finance : IREF
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Risks : open access journal
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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The European journal of finance
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Journal of financial econometrics
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Journal of international financial markets, institutions & money
9
Pacific-Basin finance journal
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CFS working paper series
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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ECONIS (ZBW)
37
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1
Testing the existence of moments for GARCH processes
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 47-64
Persistent link: https://www.econbiz.de/10013441622
Saved in:
2
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:
3
Hybrid quantile estimation for asymmetric power GARCH models
Wang, Guochang
;
Zhu, Ke
;
Li, Guodong
;
Li, Wai Keung
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 264-284
Persistent link: https://www.econbiz.de/10013441656
Saved in:
4
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:
5
Functional GARCH models : the quasi-likelihood approach and its applications
Cerovecki, Clément
;
Francq, Christian
;
Hörmann, Siegfried
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 353-375
Persistent link: https://www.econbiz.de/10012302614
Saved in:
6
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:
7
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
8
Linear double autoregression
Zhu, Qianqian
;
Zheng, Yao
;
Li, Guodong
- In:
Journal of econometrics
207
(
2018
)
1
,
pp. 162-174
Persistent link: https://www.econbiz.de/10012116135
Saved in:
9
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
10
Resolution of policy uncertainty and sudden declines in volatility
Amengual, Dante
;
Xiu, Dacheng
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 297-315
Persistent link: https://www.econbiz.de/10011974676
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