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~isPartOf:"Computational economics"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risikomaß
38
Risk measure
38
Theorie
20
Theory
20
Portfolio selection
18
Portfolio-Management
18
Risk
11
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10
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10
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Statistical distribution
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Statistische Verteilung
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Schätztheorie
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Multivariate distribution
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Value at risk
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VAR-Modell
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Value-at-risk
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Afuecheta, Emmanuel
2
Nadarajah, Saralees
2
Alvarez, Susana
1
Asai, Manabu
1
Avdoulas, Christos
1
Baixauli, J. Samuel
1
Ballini, Rosangela
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Beaumont, Paul Michael
1
Bekiros, Stelios
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Caldeira, João F.
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Chan, Stephen
1
Chen, Cathy W. S.
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Deng, Xue
1
Eleftheriadis, Iordanis
1
Fang, Yuantao
1
Gao, Yu
1
Gomide, Fernando
1
Hossain, Md. Alamgir
1
Jiao, Shoukun
1
Liang, Ying
1
Loukeris, Nikolaos
1
Lu, Chunyi
1
Ma, Yong
1
Maciel, Leandro
1
Moura, Guilherme Valle
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Müller, Fernanda Maria
1
Nirei, Makoto
1
Nzeribe, Geraldine E.
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Okorie, Idika E.
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Righi, Marcelo Brutti
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Teng, Zhuoqi
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Than-Thi, Hong
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Tzeng, Yu-Ying
1
Wu, Renhong
1
Xu, Weidong
1
Ye, Wuyi
1
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Computational economics
International journal of forecasting
49
Journal of banking & finance
46
Finance research letters
33
Risks : open access journal
33
Journal of forecasting
32
Insurance / Mathematics & economics
31
Journal of risk
26
The North American journal of economics and finance : a journal of financial economics studies
26
Discussion paper / Tinbergen Institute
24
Energy economics
24
International review of financial analysis
23
The journal of risk model validation
22
Applied economics
20
Economic modelling
20
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
17
Journal of risk and financial management : JRFM
17
Journal of risk management in financial institutions
16
SFB 649 discussion paper
15
The European journal of finance
15
European journal of operational research : EJOR
14
Quantitative finance
14
Econometric Institute research papers
13
Journal of financial econometrics
13
Journal of international financial markets, institutions & money
12
Applied economics letters
11
International review of economics & finance : IREF
11
Research paper series / Swiss Finance Institute
11
Working paper
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
9
Pacific-Basin finance journal
9
School of Accounting, Finance and Economics & FEMARC working paper series
9
Journal of economic dynamics & control
8
Journal of financial services research : JFSR
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
Discussion paper / Deutsche Bundesbank
7
International journal of theoretical and applied finance
7
Journal of econometrics
7
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ECONIS (ZBW)
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
4
Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning
Lu, Chunyi
;
Teng, Zhuoqi
;
Gao, Yu
;
Wu, Renhong
; …
- In:
Computational economics
59
(
2022
)
4
,
pp. 1501-1524
Persistent link: https://www.econbiz.de/10013261898
Saved in:
5
Dependence and systemic risk analysis between S&P 500 index and sector indexes : a conditional value-at-risk approach
Jiao, Shoukun
;
Ye, Wuyi
- In:
Computational economics
59
(
2022
)
3
,
pp. 1203-1229
Persistent link: https://www.econbiz.de/10013169244
Saved in:
6
A statistical analysis of global economies using time varying copulas
Afuecheta, Emmanuel
;
Nadarajah, Saralees
;
Chan, Stephen
- In:
Computational economics
58
(
2021
)
4
,
pp. 1167-1194
Persistent link: https://www.econbiz.de/10012697904
Saved in:
7
On a bivariate hysteretic AR-GARCH model with conditional asymmetry in correlations
Chen, Cathy W. S.
;
Than-Thi, Hong
;
Asai, Manabu
- In:
Computational economics
58
(
2021
)
2
,
pp. 413-433
Persistent link: https://www.econbiz.de/10012615031
Saved in:
8
Tail-related risk measurement and forecasting in equity markets
Bekiros, Stelios
;
Loukeris, Nikolaos
;
Eleftheriadis, …
- In:
Computational economics
53
(
2019
)
2
,
pp. 783-816
Persistent link: https://www.econbiz.de/10012134868
Saved in:
9
Time series simulation with randomized quasi-monte carlo methods : an application to value at risk and expected shortfall
Tzeng, Yu-Ying
;
Beaumont, Paul Michael
;
Ökten, Giray
- In:
Computational economics
52
(
2018
)
1
,
pp. 55-77
Persistent link: https://www.econbiz.de/10012052921
Saved in:
10
Evolving fuzzy-GARCH approach for financial volatility modeling and forecasting
Maciel, Leandro
;
Gomide, Fernando
;
Ballini, Rosangela
- In:
Computational economics
48
(
2016
)
3
,
pp. 379-398
Persistent link: https://www.econbiz.de/10011712504
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