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~isPartOf:"Economic modelling"
~subject:"Portfolio-Management"
~subject:"Schätzung"
~subject:"Zeitreihenanalyse"
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Portfolio-Management
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Zeitreihenanalyse
Statistical distribution
43
Statistische Verteilung
43
Theorie
26
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26
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16
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Ahamada, Ibrahim
1
Ahmed, Ali M.
1
Ben Abdelaziz, Fouad
1
Berger, Theo
1
Callealta Barroso, Francisco Javier
1
Candelon, Bertrand
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Chen, Rongda
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1
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1
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Prigent, Jean-Luc
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Qin, Xiao
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Te, Bao
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Economic modelling
Journal of econometrics
57
Insurance / Mathematics & economics
55
Discussion paper / Tinbergen Institute
41
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
32
Journal of banking & finance
30
Applied economics
29
International journal of forecasting
25
Risks : open access journal
24
International journal of theoretical and applied finance
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Finance research letters
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Economics letters
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European journal of operational research : EJOR
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International review of financial analysis
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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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Journal of empirical finance
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SFB 649 discussion paper
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
15
Swiss Finance Institute Research Paper
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Working paper
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Cambridge working papers in economics
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Computational economics
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Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
12
The journal of asset management
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The journal of futures markets
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Applied economics letters
11
Journal of risk and financial management : JRFM
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Management science : journal of the Institute for Operations Research and the Management Sciences
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International review of economics & finance : IREF
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Journal of applied econometrics
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Tinbergen Institute Discussion Paper
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ECONIS (ZBW)
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1
Portfolio optimization in the presence of tail correlation
Ben Abdelaziz, Fouad
;
Chibane, Messaoud
- In:
Economic modelling
122
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014388707
Saved in:
2
Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators
Naimoli, Antonio
;
Gerlach, Richard
;
Storti, Giuseppe
- In:
Economic modelling
107
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013367470
Saved in:
3
Do realized higher moments have information content? : VaR forecasting based on the realized GARCH-RSRK model
Wang, Tianyi
;
Liang, Fang
;
Huang, Zhuo
;
Yan, Hong
- In:
Economic modelling
109
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013348237
Saved in:
4
Modelling income distribution using the log Student's t distribution : new evidence for European Union countries
Callealta Barroso, Francisco Javier
;
García-Pérez, Carmelo
- In:
Economic modelling
89
(
2020
),
pp. 512-522
Persistent link: https://www.econbiz.de/10012426214
Saved in:
5
Hedge fund return higher moments over the business cycle
Racicot, François-Éric
;
Théoret, Raymond
- In:
Economic modelling
78
(
2019
),
pp. 73-97
Persistent link: https://www.econbiz.de/10012198849
Saved in:
6
Multi-scale causality and extreme tail inter-dependence among housing prices
Kang, Sang Hoon
;
Uddin, Mohammed Gazi Salah
;
Ahmed, Ali M.
- In:
Economic modelling
70
(
2018
),
pp. 301-309
Persistent link: https://www.econbiz.de/10012027930
Saved in:
7
A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction
Te, Bao
;
Diks, Cees G. H.
;
Li, Hao
- In:
Economic modelling
68
(
2018
),
pp. 611-621
Persistent link: https://www.econbiz.de/10011936164
Saved in:
8
Equity market information and credit risk signaling : a quantile cointegrating regression approach
Gatfaoui, Hayette
- In:
Economic modelling
64
(
2017
),
pp. 48-59
Persistent link: https://www.econbiz.de/10011756467
Saved in:
9
Can asymmetric conditional volatility imply asymmetric tail dependence?
Kim, Jong-Min
;
Jung, Hojin
- In:
Economic modelling
64
(
2017
),
pp. 409-418
Persistent link: https://www.econbiz.de/10011761287
Saved in:
10
Testing the Gaussian and Student's t copulas in a risk management framework
Lourme, Alexandre
;
Maurer, Frantz
- In:
Economic modelling
67
(
2017
),
pp. 203-214
Persistent link: https://www.econbiz.de/10011813813
Saved in:
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