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~isPartOf:"Energy economics"
~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of economic dynamics & control"
~subject:"ARCH model"
~subject:"Prognoseverfahren"
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ARCH model
Prognoseverfahren
Risikomaß
157
Risk measure
157
Theorie
65
Theory
65
Forecasting model
61
Volatility
56
Volatilität
56
ARCH-Modell
53
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89
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Herrera, Rodrigo
4
Fan, Ying
2
Fuertes, Ana María
2
Gerlach, Richard
2
Giot, Pierre
2
Lucas, André
2
Polanski, Arnold
2
Stoja, Evarist
2
Taleb, Nassim Nicholas
2
Taylor, James W.
2
Tiwari, Aviral Kumar
2
Wang, Chao
2
Yoon, Seong-min
2
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1
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1
Adrian, Tobias
1
Alqahtani, Faisal
1
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1
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1
Asem, Ebenezer
1
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1
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1
Bar-Yam, Yaneer
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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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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Energy economics
International journal of forecasting
Journal of economic dynamics & control
Journal of forecasting
34
Finance research letters
33
Journal of banking & finance
32
Journal of empirical finance
31
The North American journal of economics and finance : a journal of financial economics studies
30
Journal of risk
29
Economic modelling
25
Discussion paper / Tinbergen Institute
22
The journal of risk model validation
22
Applied economics
21
International review of financial analysis
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Journal of risk and financial management : JRFM
18
Working papers
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Risks : open access journal
16
Journal of econometrics
15
Journal of financial econometrics
15
Econometric Institute research papers
14
International review of economics & finance : IREF
14
Quantitative finance
13
The European journal of finance
12
Research in international business and finance
11
Computational economics
10
Research paper series / Swiss Finance Institute
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Applied economics letters
9
CFS working paper series
9
Insurance / Mathematics & economics
9
Journal of international financial markets, institutions & money
9
Pacific-Basin finance journal
9
European journal of operational research : EJOR
8
International journal of economics and financial issues : IJEFI
8
Journal of mathematical finance
8
Journal of risk management in financial institutions
8
Risk management : a journal of risk, crisis and disaster
8
Working paper
8
CORE discussion paper : DP
7
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ECONIS (ZBW)
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1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
A time-varying skewness model for Growth-at-Risk
Iseringhausen, Martin
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 229-246
Persistent link: https://www.econbiz.de/10014450268
Saved in:
3
Research on tail risk contagion in international energy markets : the quantile time-frequency volatility spillover perspective
Gong, Xiao-Li
;
Zhao, Min
;
Wu, Zhuo-Cheng
;
Jia, Kai-Wen
; …
- In:
Energy economics
121
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014438765
Saved in:
4
Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
5
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
6
Intraday and overnight tail risks and return predictability in the crude oil market : Evidence from oil-related regular news and extreme shocks
Wang, Cheng
;
Bouri, Elie
;
Xu, Yahua
;
Zhang, Dingsheng
- In:
Energy economics
127
(
2023
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10014489965
Saved in:
7
Bayesian mixed-frequency quantile vector autoregression : eliciting tail risks of monthly US GDP
Iacopini, Matteo
;
Poon, Aubrey
;
Rossini, Luca
;
Zhu, Dan
- In:
Journal of economic dynamics & control
157
(
2023
),
pp. 1-16
Persistent link: https://www.econbiz.de/10014495378
Saved in:
8
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
9
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
10
Extreme risk spillover of the oil, exchange rate to Chinese stock market : evidence from implied volatility indexes
Chen, Lin
;
Wen, Fenghua
;
Li, Wanyang
;
Yin, Hua
;
Zhao, Lili
- In:
Energy economics
107
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013202630
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