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~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Time series analysis"
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Search: subject:"Value at Risk"
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Time series analysis
Risikomaß
42
Risk measure
42
Theorie
22
Theory
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Estimation
15
Schätzung
15
Statistical distribution
15
Statistische Verteilung
15
Value-at-Risk
15
Portfolio selection
14
Portfolio-Management
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Value at risk
14
Estimation theory
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Risikomanagement
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Risk management
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Schätztheorie
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ARCH model
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ARCH-Modell
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Capital income
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Kapitaleinkommen
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Value-at-risk
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Zeitreihenanalyse
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Optimal reinsurance
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Extreme value theory
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Blasques, Francisco
1
Chavez-Demoulin, V.
1
Duong, Diep
1
Embrechts, Paul
1
Fan, Jianqing
1
Ke, Yuan
1
Koopman, Siem Jan
1
Liao, Yuan
1
Liu, Shouwei
1
Lucas, André
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Sardy, S.
1
Schaumburg, Julia
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Swanson, Norman R.
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Tsay, Ruey S.
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Tse, Yiu Kuen
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Insurance: Mathematics and Economics
Journal of econometrics
International journal of forecasting
9
Journal of empirical finance
9
International review of financial analysis
8
Finance research letters
7
Journal of banking & finance
7
SFB 649 discussion paper
7
Discussion paper / Tinbergen Institute
6
Economic modelling
6
Energy economics
6
The North American journal of economics and finance : a journal of financial economics studies
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Journal of financial econometrics
5
Journal of forecasting
5
Research in international business and finance
5
Applied economics
4
Computational economics
4
Journal of risk
4
Quantitative finance
4
Research paper series / Swiss Finance Institute
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
3
Global business & economics review
3
International review of economics & finance : IREF
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of risk and financial management : JRFM
3
The European journal of finance
3
The econometrics journal
3
The journal of risk model validation
3
Umeå economic studies
3
Working papers
3
Applied economics letters
2
Applied quantitative finance
2
CESifo working papers
2
Cambridge working papers in economics
2
Discussion papers / CEPR
2
ECARES working paper
2
Econometrics : open access journal
2
Economics letters
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IMA journal of management mathematics
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ECONIS (ZBW)
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1
A new generalized exponentially weighted moving average quantile model and its statistical inference
Zhu, Ke
- In:
Journal of econometrics
237
(
2023
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014471471
Saved in:
2
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
3
Testing serial correlations in high-dimensional time series via extreme value theory
Tsay, Ruey S.
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 106-117
Persistent link: https://www.econbiz.de/10012439650
Saved in:
4
Conditional
Value-at-Risk
: semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
5
Intraday
Value-at-Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
6
Spillover dynamics for systemic risk measurement using spatial financial time series models
Blasques, Francisco
;
Koopman, Siem Jan
;
Lucas, André
; …
- In:
Journal of econometrics
195
(
2016
)
2
,
pp. 211-223
Persistent link: https://www.econbiz.de/10011705251
Saved in:
7
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
8
Extreme-quantile tracking for financial time series
Chavez-Demoulin, V.
;
Embrechts, Paul
;
Sardy, S.
- In:
Journal of econometrics
181
(
2014
)
1
,
pp. 44-52
Persistent link: https://www.econbiz.de/10010473421
Saved in:
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