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~isPartOf:"Finance and economics discussion series"
~subject:"Basel Accord"
~subject:"Estimation theory"
~subject:"Estimation"
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Search: subject:"Value at Risk"
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Basel Accord
Estimation theory
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Risk measure
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Portfolio selection
8
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8
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Gibson, Michael S.
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1
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Finance and economics discussion series
Journal of banking & finance
45
Journal of risk
45
Insurance / Mathematics & economics
36
Finance research letters
27
Discussion paper / Tinbergen Institute
26
Journal of econometrics
26
The North American journal of economics and finance : a journal of financial economics studies
24
Risks : open access journal
23
Economic modelling
22
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
21
Journal of financial econometrics : official journal of the Society for Financial Econometrics
21
Applied economics
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Econometric Institute research papers
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The journal of risk model validation
20
International review of financial analysis
19
International journal of forecasting
18
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The journal of operational risk
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Journal of empirical finance
14
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Journal of risk management in financial institutions
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13
Journal of risk and financial management : JRFM
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Journal of international financial markets, institutions & money
12
Research in international business and finance
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SFB 649 discussion paper
12
Computational economics
11
International journal of theoretical and applied finance
11
International review of economics & finance : IREF
11
European journal of operational research : EJOR
10
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
CFS working paper series
9
Journal of economic dynamics & control
9
Research paper series / Swiss Finance Institute
9
Journal of mathematical finance
8
Pacific-Basin finance journal
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1
Dynamic factor copula models with estimated cluster assignments
Oh, Dong Hwan
;
Patton, Andrew J.
-
2021
-
This draft: 21 January 2021
Persistent link: https://www.econbiz.de/10012608826
Saved in:
2
Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J.
-
2009
Persistent link: https://www.econbiz.de/10003932677
Saved in:
3
A review of backtesting and backtesting procedures
Campbell, Sean D.
-
2005
Persistent link: https://www.econbiz.de/10002798350
Saved in:
4
A risk-factor model foundation for ratings-based bank capital rules
Gordy, Michael B.
-
2002
Persistent link: https://www.econbiz.de/10001725288
Saved in:
5
Incorporating event risk into
Value-at-Risk
Gibson, Michael S.
-
2001
Persistent link: https://www.econbiz.de/10001573187
Saved in:
6
How accurate are
value-at-risk
models at commercial banks?
Berkowitz, Jeremy
;
O'Brian, James
-
2001
Persistent link: https://www.econbiz.de/10001601694
Saved in:
7
Improving grid-based methods for estimating
value
at
risk
of fixed-income portfolios
Gibson, Michael S.
;
Pritsker, Matthew
-
2000
Persistent link: https://www.econbiz.de/10001486259
Saved in:
8
Parameterizing credit risk models with rating data
Carey, Mark S.
;
Hrycay, Mark
-
2000
Persistent link: https://www.econbiz.de/10001527071
Saved in:
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