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~isPartOf:"Journal of econometrics"
~isPartOf:"Risk management : a journal of risk, crisis and disaster"
~subject:"ARCH-Modell"
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ARCH-Modell
Risikomaß
57
Risk measure
57
Theorie
29
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Estimation
19
Portfolio selection
19
Portfolio-Management
19
Schätzung
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Francq, Christian
3
Zakoïan, Jean-Michel
3
Będowska-Sójka, Barbara
1
Cardona, Emilio
1
Chan, Ngai Hang
1
Chan, Thomas W. C.
1
Chen, Rong
1
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1
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1
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Mora-Valencia, Andrés
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1
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1
Paolella, Marc S.
1
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Polak, Pawel
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So, Mike Ka-pui
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Swanson, Norman R.
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Journal of econometrics
Risk management : a journal of risk, crisis and disaster
Energy economics
30
Finance research letters
28
Journal of empirical finance
27
The North American journal of economics and finance : a journal of financial economics studies
26
Journal of banking & finance
23
Journal of risk
23
Economic modelling
22
International journal of forecasting
22
Applied economics
20
The journal of risk model validation
18
International review of financial analysis
16
Journal of risk and financial management : JRFM
16
Working papers
15
Journal of forecasting
14
International review of economics & finance : IREF
12
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Discussion paper / Tinbergen Institute
9
Journal of international financial markets, institutions & money
9
The European journal of finance
9
Computational economics
8
Econometric Institute research papers
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Quantitative finance
8
Risks : open access journal
8
Applied economics letters
7
CORE discussion paper : DP
7
Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Research paper series / Swiss Finance Institute
7
CFS working paper series
6
Review of quantitative finance and accounting
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Annals of financial economics
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
18
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1
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
Virtual Historical Simulation for estimating the conditional VaR of large portfolios
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 356-380
Persistent link: https://www.econbiz.de/10012482777
Saved in:
3
Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.
;
Polak, Pawel
;
Walker, Patrick S.
- In:
Journal of econometrics
213
(
2019
)
2
,
pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
Saved in:
4
Risk and return of a trend-chasing application in financial markets: an empirical test
Ilomäki, Jukka
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
3
,
pp. 258-272
Persistent link: https://www.econbiz.de/10011885978
Saved in:
5
Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate
Będowska-Sójka, Barbara
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
4
,
pp. 326-346
Persistent link: https://www.econbiz.de/10011962183
Saved in:
6
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 381-401
Persistent link: https://www.econbiz.de/10012110307
Saved in:
7
Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng
;
Zhang, Zhengjun
;
Chen, Rong
- In:
Journal of econometrics
207
(
2018
)
2
,
pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
Saved in:
8
Measuring contagion risk in high volatility state among Taiwanese major banks
Su, Ender
- In:
Risk management : a journal of risk, crisis and disaster
20
(
2018
)
3
,
pp. 185-241
Persistent link: https://www.econbiz.de/10011885900
Saved in:
9
Conditional
Value-at-Risk
: semiparametric estimation and inference
Wang, Chuan-Sheng
;
Zhao, Zhibiao
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
Saved in:
10
Dependent bootstrapping for
value-at-risk
and expected shortfall
Laker, Ian
;
Huang, Chun-Kai
;
Clark, Allan Ernest
- In:
Risk management : a journal of risk, crisis and disaster
19
(
2017
)
4
,
pp. 301-322
Persistent link: https://www.econbiz.de/10011850004
Saved in:
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