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Search: subject:"Value at Risk"
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Statistical distribution
Risikomaß
83
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Chen Zhou
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Journal of empirical finance
Journal of financial econometrics
Insurance / Mathematics & economics
76
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30
International journal of forecasting
25
Risks : open access journal
24
Discussion paper / Tinbergen Institute
22
The journal of operational risk
20
Finance research letters
19
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18
Economic modelling
16
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15
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15
International review of financial analysis
13
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13
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12
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9
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9
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9
The North American journal of economics and finance : a journal of financial economics studies
9
International review of economics & finance : IREF
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Research paper series / Swiss Finance Institute
8
Pacific-Basin finance journal
7
Journal of risk management in financial institutions
6
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ASTIN bulletin : the journal of the International Actuarial Association
5
Applied economics letters
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International journal of theoretical and applied finance
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ECONIS (ZBW)
28
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1
Forecasting
value-at-risk
using deep neural network quantile regression
Chronopoulos, Ilias
;
Raftapostolos, Aristeidis
; …
- In:
Journal of financial econometrics
22
(
2024
)
3
,
pp. 636-669
Persistent link: https://www.econbiz.de/10015045167
Saved in:
2
Backtesting
value-at-risk
and expected shortfall in the presence of estimation error
Barendse, Sander
;
Kole, Erik
;
Dijk, Dick van
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 528-568
Persistent link: https://www.econbiz.de/10014314760
Saved in:
3
Improving
value-at-risk
prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
4
A new tail-based correlation measure and its application in global equity markets
Liu, Jinjing
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 959-987
Persistent link: https://www.econbiz.de/10014314844
Saved in:
5
Smooth-transition regression models for non-stationary extremes
Hambuckers, Julien
;
Kneib, Thomas
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 445-484
Persistent link: https://www.econbiz.de/10014314754
Saved in:
6
Quantile spectral beta : a tale of tail risks, investment horizons, and asset prices
Barunik, Jozef
;
Nevrla, Matĕj
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1590-1646
Persistent link: https://www.econbiz.de/10014444704
Saved in:
7
Forecasting tail risk measures for financial time series : an extreme value approach with covariates
James, Robert
;
Leung, Henry
;
Leung, Jessica Wai Yin
; …
- In:
Journal of empirical finance
71
(
2023
),
pp. 29-50
Persistent link: https://www.econbiz.de/10014292519
Saved in:
8
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
9
Multilevel and tail risk management
Khalaf, Lynda
;
Leccadito, Arturo
;
Urga, Giovanni
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 839-874
Persistent link: https://www.econbiz.de/10013460029
Saved in:
10
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
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