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~isPartOf:"Applied economics"
~isPartOf:"The journal of risk model validation"
~subject:"ARCH model"
~subject:"Multivariate distribution"
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ARCH model
Multivariate distribution
Risikomaß
113
Risk measure
113
Theorie
44
Theory
44
Portfolio selection
38
Portfolio-Management
38
ARCH-Modell
35
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34
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34
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backtesting
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extreme value theory
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3
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Applied economics
The journal of risk model validation
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
24
Journal of risk and financial management : JRFM
24
International review of financial analysis
23
Journal of forecasting
17
Risks : open access journal
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International review of economics & finance : IREF
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Computational economics
11
Journal of econometrics
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of international financial markets, institutions & money
11
SFB 649 discussion paper
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Applied economics letters
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Quantitative finance
10
The European journal of finance
10
Discussion paper / Tinbergen Institute
9
Journal of financial econometrics
9
Pacific-Basin finance journal
9
Risk management : a journal of risk, crisis and disaster
9
CORE discussion paper : DP
8
Econometric Institute research papers
8
European journal of operational research : EJOR
8
Journal of mathematical finance
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International journal of economics and financial issues : IJEFI
7
Research paper series / Swiss Finance Institute
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Review of quantitative finance and accounting
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ECONIS (ZBW)
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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
Value-at-risk and the global financial crisis
Ha Tran Manh
;
Mai Ngoc Tran
- In:
The journal of risk model validation
17
(
2023
)
1
,
pp. 41-83
Persistent link: https://www.econbiz.de/10014485605
Saved in:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
He, Chaohua
;
Li, Guangchen
;
Fan, Hai
;
Wei, Weixian
- In:
Applied economics
53
(
2021
)
11
,
pp. 1249-1263
Persistent link: https://www.econbiz.de/10012485170
Saved in:
10
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
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