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~isPartOf:"Annals of financial economics"
~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
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Search: subject_exact:"Statistische Verteilung"
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ARCH model
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Paolella, Marc S.
2
Abad, Pilar
1
Badescu, Alexandru
1
Benito Muela, Sonia
1
Berens, Tobias
1
D'Addona, Stefano
1
Dokučaev, Nikolaj G.
1
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1
Sánchez Granero, Miguel Angel
1
Tee, Kaihong
1
Weiß, Gregory N. F.
1
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1
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Annals of financial economics
International journal of theoretical and applied finance
Journal of risk
Journal of econometrics
15
Discussion paper / Tinbergen Institute
14
International journal of forecasting
14
Journal of empirical finance
14
Economic modelling
12
The European journal of finance
11
Applied economics
10
Finance research letters
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Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
9
International review of financial analysis
8
Journal of banking & finance
8
International review of economics & finance : IREF
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of risk and financial management : JRFM
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Economics letters
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Energy economics
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
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Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of international financial markets, institutions & money
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ECONIS (ZBW)
12
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1
Density and risk prediction with non-Gaussian COMFORT models
Paolella, Marc S.
;
Polak, Pawel
- In:
Annals of financial economics
18
(
2023
)
1
,
pp. 1-37
Persistent link: https://www.econbiz.de/10014442390
Saved in:
2
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
3
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
4
Modeling dependency of volatility on sampling frequency via delay equations
Luong, Chuong
;
Dokučaev, Nikolaj G.
- In:
Annals of financial economics
11
(
2016
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10011685676
Saved in:
5
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
6
Forecasting value-at-risk with time-varying variance, skewness and kurtosis in an exponential weighted moving average framework
Gabrielsen, Alexandros
;
Kirchner, Axel
;
Liu, Zhuoshi
; …
- In:
Annals of financial economics
10
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011382540
Saved in:
7
QMLE of a standard exponential ACD model : asymptotic distribution and residual correlation
Sin, Chor-yiu
- In:
Annals of financial economics
9
(
2014
)
2
,
pp. 1-10
Persistent link: https://www.econbiz.de/10010489087
Saved in:
8
Fast methods for large-scale non-elliptical portfolio optimization
Paolella, Marc S.
- In:
Annals of financial economics
9
(
2014
)
2
,
pp. 1-32
Persistent link: https://www.econbiz.de/10010489123
Saved in:
9
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy
- In:
Journal of risk
16
(
2013
)
2
,
pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Saved in:
10
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
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