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~isPartOf:"Econometric Institute research papers"
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Search: subject_exact:"GARCH-Modell"
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Risikomaß
ARCH model
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ARCH-Modell
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Volatility
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McAleer, Michael
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Tansuchat, Roengchai
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Econometric Institute research papers
Energy economics
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The North American journal of economics and finance : a journal of financial economics studies
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Journal of banking & finance
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Finance research letters
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International journal of forecasting
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International review of financial analysis
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International review of economics & finance : IREF
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Journal of international financial markets, institutions & money
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Discussion paper / Tinbergen Institute
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Journal of financial econometrics
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Risks : open access journal
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Applied economics letters
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CORE discussion paper : DP
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International journal of economics and financial issues : IJEFI
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Pacific-Basin finance journal
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Risk management : a journal of risk, crisis and disaster
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Review of quantitative finance and accounting
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Annals of financial economics
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ECONIS (ZBW)
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1
Choosing expected shortfall over VaR in Basel III using stochastic dominance
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011432786
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2
A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin
;
Jiménez-Martín, Juan-Ángel
; …
-
2015
Persistent link: https://www.econbiz.de/10011346199
Saved in:
3
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008664052
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4
Modelling conditional correlations for risk diversification in crude oil markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877105
Saved in:
5
Forecasting volatility and spillovers in crude oil spot, forward and futures markets
Chang, Chia-Lin
;
McAleer, Michael
;
Tansuchat, Roengchai
-
2009
Persistent link: https://www.econbiz.de/10003877109
Saved in:
6
What happened to risk management during the 2008 - 09 financial crisis?
McAleer, Michael
;
Jimenez-Martin, Juan-Angel
;
Pérez …
-
2009
Persistent link: https://www.econbiz.de/10003877129
Saved in:
7
VaR forecasts and dynamic conditional correlations for spot and futures returns on stocks and bonds
Hakim, Abdul
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003908707
Saved in:
8
It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo
;
Chan, Felix
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003910300
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