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~isPartOf:"Journal of banking & finance"
~isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Estimation"
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Estimation
Statistical distribution
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34
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25
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Baur, Dirk G.
1
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Gagnon, Marie-Hélène
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Journal of banking & finance
The journal of derivatives : the official publication of the International Association of Financial Engineers
Journal of econometrics
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Applied economics
19
International journal of forecasting
15
Discussion paper / Tinbergen Institute
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The journal of futures markets
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Economics letters
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
The European journal of finance
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International review of economics & finance : IREF
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Risks : open access journal
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
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International review of financial analysis
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7
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ECONIS (ZBW)
15
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1
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
2
Modeling and forecasting realized portfolio weights
Golosnoy, Vasyl
;
Gribisch, Bastian
- In:
Journal of banking & finance
138
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013461907
Saved in:
3
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
4
Option-implied objective measures of market risk
Leiss, Matthias
;
Nax, Heinrich H.
- In:
Journal of banking & finance
88
(
2018
),
pp. 225-240
Persistent link: https://www.econbiz.de/10011962908
Saved in:
5
Equity index variance : evidence from flexible parametric jump-diffusion models
Kaeck, Andreas
;
Rodrigues, Paulo Jorge Maurício
; …
- In:
Journal of banking & finance
83
(
2017
),
pp. 85-103
Persistent link: https://www.econbiz.de/10011816827
Saved in:
6
Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates
Siburg, Karl Friedrich
;
Stoimenov, Pavel
;
Weiß, Gregor
- In:
Journal of banking & finance
54
(
2015
),
pp. 129-140
Persistent link: https://www.econbiz.de/10011377805
Saved in:
7
Robust estimation of shape-constrained state price density surfaces
Ludwig, Markus
- In:
The journal of derivatives : the official publication …
22
(
2015
)
3
,
pp. 56-72
Persistent link: https://www.econbiz.de/10011399679
Saved in:
8
Estimating option-implied risk-neutral densities : a novel parametric approach
Orosi, Greg
- In:
The journal of derivatives : the official publication …
23
(
2015
)
1
,
pp. 41-61
Persistent link: https://www.econbiz.de/10011399802
Saved in:
9
Out-of-sample density forecasts with affine jump diffusion models
Yun, Jaeho
- In:
Journal of banking & finance
47
(
2014
),
pp. 74-87
Persistent link: https://www.econbiz.de/10010506503
Saved in:
10
Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos
- In:
Journal of banking & finance
40
(
2014
),
pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
Saved in:
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