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~isPartOf:"Applied economics"
~subject:"ARCH model"
~subject:"Ausreißer"
~subject:"Multivariate distribution"
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ARCH model
Ausreißer
Multivariate distribution
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH-Modell
20
Portfolio selection
20
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Blazsek, Szabolcs
3
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3
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Monteros, Luis Antonio
2
Wang, Yi-Hsien
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1
Al-Fayoumi, Nedal
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1
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1
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Applied economics
Insurance / Mathematics & economics
43
Energy economics
41
Journal of banking & finance
41
The North American journal of economics and finance : a journal of financial economics studies
37
Journal of risk
33
Economic modelling
31
Finance research letters
29
Journal of empirical finance
29
International review of financial analysis
27
Risks : open access journal
27
International journal of forecasting
26
Journal of risk and financial management : JRFM
26
Journal of forecasting
17
The journal of risk model validation
17
Journal of econometrics
16
Discussion paper / Tinbergen Institute
15
Journal of international financial markets, institutions & money
15
Research in international business and finance
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Working papers
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Journal of financial econometrics
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SFB 649 discussion paper
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International review of economics & finance : IREF
13
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
13
Applied economics letters
12
Computational economics
12
The European journal of finance
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of mathematical finance
11
Pacific-Basin finance journal
11
Quantitative finance
11
Econometric Institute research papers
10
European journal of operational research : EJOR
9
Risk management : a journal of risk, crisis and disaster
9
The journal of operational risk
9
CORE discussion paper : DP
8
Economics letters
8
CFS working paper series
7
International journal of economics and financial issues : IJEFI
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ECONIS (ZBW)
35
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1
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
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
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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