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~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Journal of banking & finance"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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ARCH model
Prognoseverfahren
Volatility
Risikomaß
189
Risk measure
189
Theorie
89
Theory
89
Portfolio selection
79
Portfolio-Management
79
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53
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Weiß, Gregor
3
Carriero, Andrea
2
Clark, Todd E.
2
Daníelsson, Jón
2
Kim, Young Shin
2
Marcellino, Massimiliano
2
McNeil, Alexander J.
2
Wied, Dominik
2
Ziggel, Daniel
2
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1
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1
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1
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1
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1
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1
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1
Bedendo, Mascia
1
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1
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1
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1
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1
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1
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1
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1
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1
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Giudice Rodriguez, Marius del
1
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Discussion papers / CEPR
Journal of banking & finance
International journal of forecasting
50
Energy economics
47
Finance research letters
42
The North American journal of economics and finance : a journal of financial economics studies
42
Journal of forecasting
35
Journal of risk
33
Journal of empirical finance
32
International review of financial analysis
30
Economic modelling
29
The journal of risk model validation
26
Discussion paper / Tinbergen Institute
25
Applied economics
24
Journal of financial econometrics : official journal of the Society for Financial Econometrics
22
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International review of economics & finance : IREF
20
Risks : open access journal
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Journal of econometrics
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The European journal of finance
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Research paper series / Swiss Finance Institute
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Journal of mathematical finance
11
Research in international business and finance
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European journal of operational research : EJOR
10
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Applied economics letters
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CFS working paper series
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Insurance / Mathematics & economics
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International journal of economics and financial issues : IJEFI
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Journal of economic dynamics & control
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ECONIS (ZBW)
47
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1
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
2
What can we learn from firm-level jump-induced tail risk around earnings announcements?
Liu, Mengxi
;
Chan, Kam Fong
;
Faff, Robert W.
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013461866
Saved in:
3
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
4
Capturing macroeconomic tail risks with bayesian vector autoregressions
Carriero, Andrea
;
Clark, Todd E.
;
Marcellino, Massimiliano
-
2022
Persistent link: https://www.econbiz.de/10013286806
Saved in:
5
Sharing asymmetric tail risk : smoothing, asset pricing and terms of trade
Corsetti, Giancarlo
;
Lipinska, Anna
;
Lombardo, Giovanni
-
2021
Persistent link: https://www.econbiz.de/10012601997
Saved in:
6
Nowcasting tail risk to economic activity at a weekly frequency
Marcellino, Massimiliano
;
Clark, Todd E.
;
Carriero, Andrea
-
2021
Persistent link: https://www.econbiz.de/10012609779
Saved in:
7
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
8
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
9
Downside risk and the performance of volatility-managed portfolios
Wang, Feifei
;
Yan, Xuemin Sterling
- In:
Journal of banking & finance
131
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013365948
Saved in:
10
Modeling and forecasting macroeconomic downside risk
Delle Monache, Davide
;
De Polis, Andrea
;
Petrella, Ivan
-
2020
Persistent link: https://www.econbiz.de/10012253930
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