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~isPartOf:"Applied economics"
~isPartOf:"International journal of economics and financial issues : IJEFI"
~subject:"ARCH model"
~subject:"Multivariate distribution"
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ARCH model
Multivariate distribution
Risikomaß
66
Risk measure
66
ARCH-Modell
27
Theorie
27
Theory
27
Portfolio selection
22
Portfolio-Management
22
Estimation
21
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Blazsek, Szabolcs
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Applied economics
International journal of economics and financial issues : IJEFI
Energy economics
38
The North American journal of economics and finance : a journal of financial economics studies
35
Journal of banking & finance
33
Economic modelling
28
Insurance / Mathematics & economics
27
Journal of empirical finance
27
Journal of risk
26
Finance research letters
25
International journal of forecasting
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Journal of risk and financial management : JRFM
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International review of financial analysis
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Risks : open access journal
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The journal of risk model validation
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SFB 649 discussion paper
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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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Pacific-Basin finance journal
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Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
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On the effectiveness of stock index futures for tail risk protection
Zouari, Hammadi
- In:
International journal of economics and financial issues …
12
(
2022
)
3
,
pp. 38-52
Persistent link: https://www.econbiz.de/10013259361
Saved in:
2
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
3
Conditional extreme values theory and tail-related risk measures : evidence from Latin American stock markets
Gutiérrez, Raúl de Jesús
;
Santillán Salgado, …
- In:
International journal of economics and financial issues …
9
(
2019
)
3
,
pp. 127-141
Persistent link: https://www.econbiz.de/10012149540
Saved in:
4
Examining the value-at-risk performance of fractionally integrated GARCH models : evidence from energy commodities
Buberkoku, Onder
- In:
International journal of economics and financial issues …
8
(
2018
)
3
,
pp. 36-50
Persistent link: https://www.econbiz.de/10011978920
Saved in:
5
Modelling dependence and systemic risk between oil prices and BSE sectoral indices using stochastic copula and CoVar, ΔCoVar and MES approaches
Tiwari, Aviral Kumar
;
Pathak, Rajesh
;
DasGupta, Ranjan
; …
- In:
Applied economics
53
(
2021
)
58
,
pp. 6770-6788
Persistent link: https://www.econbiz.de/10012697968
Saved in:
6
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
Saved in:
7
Unconditional density vs conditional density functions in estimating value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
8
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
Saved in:
9
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
Saved in:
10
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
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