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~isPartOf:"Discussion papers / CEPR"
~isPartOf:"Journal of banking & finance"
~subject:"Prognoseverfahren"
~subject:"Volatility"
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Prognoseverfahren
Volatility
Risikomaß
189
Risk measure
189
Theorie
89
Theory
89
Portfolio selection
79
Portfolio-Management
79
Risikomanagement
53
Risk management
53
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Weiß, Gregor
3
Carriero, Andrea
2
Clark, Todd E.
2
Marcellino, Massimiliano
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McNeil, Alexander J.
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Ziggel, Daniel
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Audrino, Francesco
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1
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1
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1
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1
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Discussion papers / CEPR
Journal of banking & finance
International journal of forecasting
48
Energy economics
38
Finance research letters
38
The North American journal of economics and finance : a journal of financial economics studies
35
Journal of forecasting
34
International review of financial analysis
25
Discussion paper / Tinbergen Institute
21
Journal of empirical finance
21
Journal of risk
21
Economic modelling
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Applied economics
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The journal of risk model validation
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The European journal of finance
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Journal of international financial markets, institutions & money
11
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9
Journal of economic dynamics & control
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Journal of mathematical finance
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Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Applied economics letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Swiss Finance Institute Research Paper
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CORE discussion papers : DP
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Financial innovation : FIN
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International journal of economics and financial issues : IJEFI
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ECONIS (ZBW)
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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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