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~subject:"Estimation"
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Search: subject:"Value at Risk"
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Estimation
Risikomaß
41
Risk measure
41
Theorie
21
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15
Statistical distribution
15
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15
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13
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Francq, Christian
3
Zakoïan, Jean-Michel
3
Bandi, Federico M.
1
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1
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1
Chan, Thomas W. C.
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Chavez-Demoulin, V.
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Wang, Chuan-Sheng
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Journal of econometrics
Journal of banking & finance
25
Journal of risk
22
Finance research letters
20
The North American journal of economics and finance : a journal of financial economics studies
20
Applied economics
18
Economic modelling
16
Energy economics
16
International review of financial analysis
16
International journal of forecasting
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of empirical finance
13
Insurance / Mathematics & economics
12
Discussion paper / Tinbergen Institute
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Risks : open access journal
11
The journal of risk model validation
11
Quantitative finance
10
Research in international business and finance
10
Working papers
10
International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
CFS working paper series
8
Journal of financial econometrics
8
Pacific-Basin finance journal
8
Economics letters
7
Journal of forecasting
7
Journal of international financial markets, institutions & money
7
Computational economics
6
Econometric Institute research papers
6
Journal of economic dynamics & control
6
Journal of mathematical finance
6
SFB 649 discussion paper
6
SpringerLink / Bücher
6
Working paper
6
Discussion paper / Deutsche Bundesbank
5
International journal of finance & economics : IJFE
5
Journal of risk : JOR
5
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
2
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:
3
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
4
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:
5
Network quantile autoregression
Zhu, Xuening
;
Wang, Weining
;
Wang, Hansheng
;
Härdle, …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 345-358
Persistent link: https://www.econbiz.de/10012303979
Saved in:
6
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:
7
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:
8
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:
9
Intraday
Value-at-Risk
: an asymmetric autoregressive conditional duration approach
Liu, Shouwei
;
Tse, Yiu Kuen
- In:
Journal of econometrics
189
(
2015
)
2
,
pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
Saved in:
10
Risk-parameter estimation in volatility models
Francq, Christian
;
Zakoïan, Jean-Michel
- In:
Journal of econometrics
184
(
2015
)
1
,
pp. 158-173
Persistent link: https://www.econbiz.de/10011326796
Saved in:
1
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