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~isPartOf:"Applied economics"
~subject:"ARCH model"
~subject:"Multivariate distribution"
~subject:"Schätzung"
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ARCH model
Multivariate distribution
Schätzung
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH-Modell
20
Portfolio selection
20
Portfolio-Management
20
Estimation
18
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Blazsek, Szabolcs
3
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3
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2
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2
Long, Huaigang
2
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Applied economics
Journal of banking & finance
53
Energy economics
45
Journal of risk
41
The North American journal of economics and finance : a journal of financial economics studies
41
Finance research letters
38
Economic modelling
37
Insurance / Mathematics & economics
34
International review of financial analysis
33
International journal of forecasting
32
Journal of empirical finance
31
Journal of risk and financial management : JRFM
29
Risks : open access journal
23
Journal of forecasting
21
The journal of risk model validation
21
Research in international business and finance
19
Working papers
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International review of economics & finance : IREF
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Discussion paper / Tinbergen Institute
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Journal of international financial markets, institutions & money
15
SFB 649 discussion paper
15
Computational economics
14
Quantitative finance
14
Journal of financial econometrics
13
Pacific-Basin finance journal
13
Applied economics letters
12
Econometric Institute research papers
11
The European journal of finance
11
Economics letters
10
Journal of mathematical finance
10
CFS working paper series
9
European journal of operational research : EJOR
9
Journal of economic dynamics & control
9
Research paper series / Swiss Finance Institute
9
Review of quantitative finance and accounting
9
Risk management : a journal of risk, crisis and disaster
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ECONIS (ZBW)
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1
International commodity-market tail risk and stock volatility
Zhong, Juandan
;
Long, Huaigang
;
Ma, Feng
;
Wang, Jiqian
- In:
Applied economics
55
(
2023
)
49
,
pp. 5790-5799
Persistent link: https://www.econbiz.de/10014335790
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
A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo
- In:
Applied economics
55
(
2023
)
4
,
pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
Saved in:
4
A gradient boosting approach to estimating tail risk interconnectedness
Long, Yunshen
;
Zeng, LinQing
;
Wang, Jing
;
Long, Xingchen
; …
- In:
Applied economics
54
(
2022
)
8
,
pp. 862-879
Persistent link: https://www.econbiz.de/10012874756
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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