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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Multivariate Verteilung"
~subject:"Risk"
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Search: subject_exact:"Expected tail loss"
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Multivariate Verteilung
Risk
Risikomaß
113
Risk measure
113
Portfolio selection
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39
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Chen, Yanhong
2
Gupta, Rangan
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Hu, Yijun
2
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1
Albulescu, Claudiu Tiberiu
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International journal of theoretical and applied finance
The North American journal of economics and finance : a journal of financial economics studies
Insurance / Mathematics & economics
137
Risks : open access journal
57
European journal of operational research : EJOR
56
Journal of banking & finance
55
Finance research letters
40
Energy economics
32
Journal of risk
32
Quantitative finance
30
Economic modelling
27
International review of financial analysis
27
Applied economics
25
Finance and stochastics
21
Journal of risk and financial management : JRFM
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Mathematics of operations research
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Scandinavian actuarial journal
19
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Pacific-Basin finance journal
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International review of economics & finance : IREF
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14
Mathematical finance : an international journal of mathematics, statistics and financial theory
14
SFB 649 discussion paper
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Discussion paper / Tinbergen Institute
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Journal of mathematical finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Research paper series / Swiss Finance Institute
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The European journal of finance
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Astin bulletin : the journal of the International Actuarial Association
12
International journal of forecasting
12
Journal of international financial markets, institutions & money
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Journal of risk management in financial institutions
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The journal of risk model validation
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International journal of risk assessment and management : IJRAM
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GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong
;
Li, Min-Jian
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
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2
A study on equity home bias using vine copula approach
Garg, Jyoti
;
Karmakar, Madhusudan
;
Paul, Samit
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014246917
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3
Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence
Mo, Guoli
;
Zhang, Weiguo
;
Tan, Chunzhi
;
Liu, Xing
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-23
Persistent link: https://www.econbiz.de/10013413442
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4
Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
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5
Extreme risk transmission channels between the stock index futures and spot markets : evidence from China
Jian, Zhihong
;
Li, Xupei
;
Zhu, Zhican
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413574
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6
Hedging the extreme risk of cryptocurrency
Dunbar, Kwamie
;
Owusu-Amoako, Johnson
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014225746
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7
Risk spillover analysis of China's financial sectors based on a new GARCH Copula quantile regression model
Tian, Maoxi
;
Guo, Fei
;
Niu, Rong
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10014225784
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8
Market risks that change domestic diversification benefits
Sarwar, Ghulam
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014225809
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9
Comparing the small-sample estimation error of conceptually different risk measures
Auer, Benjamin R.
;
Schuhmacher, Frank
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-21
Persistent link: https://www.econbiz.de/10012662011
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10
Portfolio allocation in a Levy-type jump-diffusion model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
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