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~isPartOf:"Applied economics"
~isPartOf:"Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risikomaß
70
Risk measure
70
Theorie
33
Theory
33
ARCH model
30
ARCH-Modell
30
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26
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26
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Blazsek, Szabolcs
3
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Monteros, Luis Antonio
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Applied economics
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
International journal of forecasting
53
Journal of banking & finance
46
Finance research letters
40
Risks : open access journal
33
Journal of forecasting
32
Insurance / Mathematics & economics
31
Journal of risk
27
Energy economics
26
The North American journal of economics and finance : a journal of financial economics studies
26
The journal of risk model validation
25
Discussion paper / Tinbergen Institute
24
International review of financial analysis
24
Economic modelling
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
The journal of credit risk : published quarterly by Incisive Media
19
Journal of empirical finance
18
Journal of risk and financial management : JRFM
17
Computational economics
16
Journal of risk management in financial institutions
16
The European journal of finance
16
Quantitative finance
15
SFB 649 discussion paper
15
European journal of operational research : EJOR
14
Journal of financial econometrics
14
Econometric Institute research papers
13
International review of economics & finance : IREF
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of international financial markets, institutions & money
12
Applied economics letters
11
Research paper series / Swiss Finance Institute
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Working paper
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Journal of economic dynamics & control
9
Pacific-Basin finance journal
9
School of Accounting, Finance and Economics & FEMARC working paper series
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Journal of financial services research : JFSR
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Discussion paper / Deutsche Bundesbank
7
International journal of theoretical and applied finance
7
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ECONIS (ZBW)
28
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28
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1
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:
2
Estimation and forecasting of long memory stochastic volatility models
Abbara, Omar
;
Zevallos, Mauricio
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014288818
Saved in:
3
A new bivariate Archimedean copula with application to the evaluation of VaR
Guloksuz, Cigdem Topcu
;
Kumar, Pranesh
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
2
,
pp. 273-285
Persistent link: https://www.econbiz.de/10013334726
Saved in:
4
Modelling and forecasting stock volatility and return : a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
Tan, Shay Kee
;
Chan, Jennifer So Kuen
;
Kok Haur Ng
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
26
(
2022
)
3
,
pp. 437-474
Persistent link: https://www.econbiz.de/10013334835
Saved in:
5
A monitoring procedure for detecting structural breaks in factor copula models
Manner, Hans
;
Stark, Florian
;
Wied, Dominik
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
4
,
pp. 171-192
Persistent link: https://www.econbiz.de/10012657681
Saved in:
6
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:
7
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:
8
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:
9
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
Saved in:
10
Dependence risk analysis in energy, agricultural and precious metals commodities : a pair vine copula approach
Kumar, Satish
;
Tiwari, Aviral Kumar
;
Raheem, I. D.
;
Ji, …
- In:
Applied economics
52
(
2020
)
28
,
pp. 3055-3072
Persistent link: https://www.econbiz.de/10012221480
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