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~isPartOf:"International journal of forecasting"
~isPartOf:"Journal of multinational financial management"
~isPartOf:"Review of quantitative finance and accounting"
~subject:"Risikomaß"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Risikomaß
ARCH model
162
ARCH-Modell
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Angelidis, Timotheos
1
Ardia, David
1
Assaf, Ata
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Auer, Benjamin R.
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Bams, Dennis
1
Benos, Alexandros Vassiliou
1
Bianchi, Michele Leonardo
1
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1
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International journal of forecasting
Journal of multinational financial management
Review of quantitative finance and accounting
Energy economics
28
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Finance research letters
22
Journal of risk
22
Economic modelling
21
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
15
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14
International review of economics & finance : IREF
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11
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10
Journal of international financial markets, institutions & money
9
Discussion paper / Tinbergen Institute
8
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8
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8
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The European journal of finance
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7
CORE discussion paper : DP
7
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7
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7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
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Research paper series / Swiss Finance Institute
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Risk management : a journal of risk, crisis and disaster
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CFS working paper series
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Annals of financial economics
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ECONIS (ZBW)
30
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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
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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
Saved in:
9
Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos
- In:
International journal of forecasting
35
(
2019
)
3
,
pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
Saved in:
10
Quantile forecast optimal combination to enhance safety stock estimation
Trapero, Juan R.
;
Cardós, Manuel
;
Kourentzes, Nikolaos
- In:
International journal of forecasting
35
(
2019
)
1
,
pp. 239-250
Persistent link: https://www.econbiz.de/10012300607
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