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~isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of multinational financial management"
~isPartOf:"The North American journal of economics and finance : a journal of financial economics studies"
~subject:"Risikomaß"
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Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
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Risikomaß
ARCH model
280
ARCH-Modell
280
Volatility
202
Volatilität
202
Capital income
105
Kapitaleinkommen
105
Estimation
90
Schätzung
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Kang, Sang Hoon
3
Mensi, Walid
3
Al-Jarrah, Idries Mohammad Wanas
2
Al-Yahyaee, Khamis Hamed
2
Fałdziński, Marcin
2
Fiszeder, Piotr
2
Hammoudeh, Shawkat
2
Molnár, Peter
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Allen, David E.
1
Alves, Isabel Fraga
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Asai, Manabu
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Assaf, Ata
1
Baillie, Richard
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Bali, Turan G.
1
Bee, Marco
1
Beltratti, Andrea
1
Berens, Tobias
1
Bernardi, Mauro
1
Billio, Monica
1
Brooks, Chris
1
Brugal, Ivan
1
Byun, Suk Joon
1
Cabello, Alejandra
1
Candido, Osvaldo
1
Chan, Jennifer So Kuen
1
Changchien, Chang-Cheng
1
Chen Zhou
1
Cheng, Wan-hsiu
1
Choi, Pilsun
1
Chow, William W.
1
Clare, Andrew D.
1
Constantinou, Nick
1
Dacorogna, Michel M.
1
Dalle Molle, John W.
1
De Lira Salvatierra, Irving Arturo
1
Demiralay, Sercan
1
Demirer, Rıza
1
Ding, Xiaoyi
1
Dupuis, Debbie J.
1
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HFDF <2, 1998, Zürich>
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Journal of empirical finance
Journal of multinational financial management
The North American journal of economics and finance : a journal of financial economics studies
Energy economics
28
Journal of banking & finance
23
Finance research letters
22
International journal of forecasting
22
Journal of risk
22
Economic modelling
21
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
15
The journal of risk model validation
15
Working papers
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Journal of forecasting
14
International review of economics & finance : IREF
11
Journal of econometrics
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Research in international business and finance
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Journal of international financial markets, institutions & money
9
Discussion paper / Tinbergen Institute
8
Econometric Institute research papers
8
Journal of financial econometrics
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Risks : open access journal
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The European journal of finance
8
Applied economics letters
7
CORE discussion paper : DP
7
Computational economics
7
Insurance / Mathematics & economics
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International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Quantitative finance
7
Research paper series / Swiss Finance Institute
7
Risk management : a journal of risk, crisis and disaster
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)
53
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1
Forecasting intraday market risk : a marked self-exciting point process with exogenous renewals
Stindl, Tom
- In:
Journal of empirical finance
70
(
2023
),
pp. 182-198
Persistent link: https://www.econbiz.de/10014423627
Saved in:
2
Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices
Fiszeder, Piotr
;
Fałdziński, Marcin
;
Molnár, Peter
- In:
Journal of empirical finance
70
(
2023
),
pp. 308-321
Persistent link: https://www.econbiz.de/10014423712
Saved in:
3
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:
4
Intraday VaR : a copula-based approach
Wang, Keli
;
Liu, Xiaoquan
;
Ye, Wuyi
- In:
Journal of empirical finance
74
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014477064
Saved in:
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
Saved in:
6
Forecasting risk measures using intraday and overnight information
Santos, Douglas Gomes dos
;
Candido, Osvaldo
;
Tófoli, …
- In:
The North American journal of economics and finance : a …
60
(
2022
),
pp. 1-25
Persistent link: https://www.econbiz.de/10013449240
Saved in:
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
Saved in:
8
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
9
Forecasting the Value-at-Risk of REITs using realized volatility jump models
Odusami, Babatunde Olatunji
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013186421
Saved in:
10
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero
;
Vacca, Gianmarco
;
Zoia, Maria Grazia
- In:
The North American journal of economics and finance : a …
58
(
2021
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013187663
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