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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
~subject:"Multivariate distribution"
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Search: subject_exact:"Statistische Verteilung"
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ARCH model
Multivariate distribution
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Option pricing theory
27
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Abad, Pilar
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International journal of theoretical and applied finance
Journal of risk
Insurance / Mathematics & economics
41
Journal of econometrics
21
Applied economics
20
Discussion paper / Tinbergen Institute
20
Journal of empirical finance
17
Risks : open access journal
17
Economic modelling
16
International journal of forecasting
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of banking & finance
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The North American journal of economics and finance : a journal of financial economics studies
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International review of financial analysis
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Finance research letters
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Swiss Finance Institute Research Paper
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Energy economics
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International review of economics & finance : IREF
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Journal of risk and financial management : JRFM
9
Economics letters
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Journal of financial econometrics
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Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
7
European journal of operational research : EJOR
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
7
Applied economics letters
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Computational economics
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Discussion paper / Center for Economic Research, Tilburg University
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Journal of economic dynamics & control
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Annals of financial economics
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CentER Discussion Paper Series
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Journal of applied econometrics
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Scandinavian actuarial journal
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ECONIS (ZBW)
15
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15
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1
Factor copula model for portfolio credit risk
Kim, Sung Ik
;
Kim, Young Shin
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
Saved in:
2
Time-varying tail dependence networks of financial institutions
Wen, Fenghua
;
Weng, Kaiyan
;
Cao, Jie
- In:
Journal of risk
23
(
2021
)
6
,
pp. 67-94
Persistent link: https://www.econbiz.de/10013473144
Saved in:
3
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Saved in:
4
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
5
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
6
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
7
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
8
Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
Saved in:
9
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy
- In:
Journal of risk
16
(
2013
)
2
,
pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Saved in:
10
Informationally dynamized Gaussian copula
Crépey, S.
;
Jeanblanc, Monique
;
Wu, Dong Li
- In:
International journal of theoretical and applied finance
16
(
2013
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10009748717
Saved in:
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