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~isPartOf:"International journal of forecasting"
~subject:"Financial crisis"
~subject:"Portfolio selection"
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Search: subject:"Expected Shortfall"
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Financial crisis
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Risikomaß
55
Risk measure
55
Forecasting model
45
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45
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30
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30
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24
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24
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13
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Ardia, David
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
Insurance / Mathematics & economics
105
Journal of banking & finance
93
European journal of operational research : EJOR
62
Journal of risk
60
Finance research letters
50
Risks : open access journal
48
Economic modelling
40
International review of financial analysis
36
The North American journal of economics and finance : a journal of financial economics studies
36
Discussion paper / Tinbergen Institute
34
Quantitative finance
34
Journal of risk and financial management : JRFM
29
Applied economics
25
Journal of economic dynamics & control
25
The European journal of finance
24
International journal of theoretical and applied finance
23
International review of economics & finance : IREF
21
Research in international business and finance
21
Computational economics
20
Journal of international financial markets, institutions & money
20
The journal of risk model validation
20
Journal of empirical finance
19
Finance and stochastics
18
Management science : journal of the Institute for Operations Research and the Management Sciences
18
Research paper series / Swiss Finance Institute
18
Operations research
16
The journal of asset management
16
Econometric Institute research papers
15
Energy economics
15
Journal of econometrics
15
Applied economics letters
14
Journal of risk management in financial institutions
14
The journal of credit risk : published quarterly by Incisive Media
14
Working paper
14
Scandinavian actuarial journal
13
Working papers
13
Pacific-Basin finance journal
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Journal of forecasting
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ECONIS (ZBW)
15
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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
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:
3
Observation-driven models for realized variances and overnight returns applied to value-at-risk and
expected
shortfall
forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
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
Nonparametric
expected
shortfall
forecasting incorporating weighted quantiles
Storti, Giuseppe
;
Wang, Chao
- In:
International journal of forecasting
38
(
2022
)
1
,
pp. 224-239
Persistent link: https://www.econbiz.de/10013347785
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
Comparing density forecasts in a risk management context
Diks, Cees G. H.
;
Fang, Hao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
Saved in:
9
Intraday portfolio risk management using VaR and CVaR : a CGARCH-EVT-Copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
International journal of forecasting
35
(
2019
)
2
,
pp. 699-709
Persistent link: https://www.econbiz.de/10012300717
Saved in:
10
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Saved in:
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