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~isPartOf:"International journal of forecasting"
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Search: subject:"Value at Risk"
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ARCH model
Risikomaß
100
Risk measure
100
Forecasting model
55
Prognoseverfahren
55
Theorie
54
Theory
54
Statistical distribution
40
Statistische Verteilung
40
ARCH-Modell
33
Estimation
31
Schätzung
31
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27
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27
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27
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25
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24
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Risk
16
Value at risk
15
Outliers
14
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Expected shortfall
12
Extreme value theory
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Value-at-Risk
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33
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Francq, Christian
3
Zakoïan, Jean-Michel
3
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1
Bams, Dennis
1
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1
Blanchard, Gildas
1
Bluteau, Keven
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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International journal of forecasting
Journal of econometrics
Energy economics
30
Finance research letters
28
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Journal of risk
23
Economic modelling
22
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
16
Journal of risk and financial management : JRFM
16
Working papers
15
Journal of forecasting
14
International review of economics & finance : IREF
12
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Discussion paper / Tinbergen Institute
9
Journal of international financial markets, institutions & money
9
The European journal of finance
9
Computational economics
8
Econometric Institute research papers
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Quantitative finance
8
Risks : open access journal
8
Applied economics letters
7
CORE discussion paper : DP
7
Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Research paper series / Swiss Finance Institute
7
Risk management : a journal of risk, crisis and disaster
7
CFS working paper series
6
Review of quantitative finance and accounting
6
Annals of financial economics
5
Swiss Finance Institute Research Paper
5
CORE discussion papers : DP
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ECONIS (ZBW)
33
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33
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date (oldest first)
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
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:
3
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:
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
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
6
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
7
Conditional
value-at-risk
forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
8
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
9
Forecasting
value
at
risk
with intra-day return curves
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
Saved in:
10
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
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