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~isPartOf:"Astin bulletin : the journal of the International Actuarial Association"
~isPartOf:"Journal of financial econometrics"
~subject:"Measurement"
~subject:"Schätzung"
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Schätzung
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Barunik, Jozef
1
Bee, Marco
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Boonen, Tim J.
1
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1
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1
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Astin bulletin : the journal of the International Actuarial Association
Journal of financial econometrics
Insurance / Mathematics & economics
111
Journal of risk
41
Journal of banking & finance
39
Risks : open access journal
38
Finance research letters
33
European journal of operational research : EJOR
31
Quantitative finance
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The North American journal of economics and finance : a journal of financial economics studies
24
Applied economics
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International review of financial analysis
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The journal of risk model validation
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Mathematics of operations research
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Finance and stochastics
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International journal of theoretical and applied finance
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Journal of econometrics
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Energy economics
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International journal of forecasting
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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International review of economics & finance : IREF
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of risk and financial management : JRFM
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Discussion paper / Tinbergen Institute
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Management science : journal of the Institute for Operations Research and the Management Sciences
12
Research paper series / Swiss Finance Institute
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Scandinavian actuarial journal
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Computational economics
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Journal of mathematical finance
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Operations research
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Operations research letters
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Research in international business and finance
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ASTIN bulletin : the journal of the International Actuarial Association
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Applied economics letters
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Journal of economic dynamics & control
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Journal of forecasting
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
18
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
Testing hypotheses on the innovations distribution in semi-parametric conditional volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1443-1482
Persistent link: https://www.econbiz.de/10014444685
Saved in:
3
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
4
Market maker inventory, bid-ask spreads, and the computation of option implied risk measures
Eraker, Bjørn
;
Osterrieder, Daniela
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1820-1851
Persistent link: https://www.econbiz.de/10014444758
Saved in:
5
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
6
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
7
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
8
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
9
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
10
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
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