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~language:"eng"
~person:"Scaillet, Olivier"
~subject:"Risikomaß"
~subject:"Risk premium"
~type_genre:"Aufsatz in Zeitschrift"
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Risikomaß
Risk premium
Nichtparametrisches Verfahren
13
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13
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10
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10
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9
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9
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Scaillet, Olivier
Gupta, Rangan
9
Gerlach, Richard
8
Kleibergen, Frank
7
Guillén, Montserrat
6
Härdle, Wolfgang
6
Peng, Liang
6
Wang, Chao
6
Wohar, Mark E.
6
Hou, Yanxi
5
Jiang, Cuixia
5
Kong, Lingwei
5
Xu, Qifa
5
Zhan, Zhaoguo
5
Almeida, Caio
4
Ardison, Kym
4
Chen, Cathy W. S.
4
Cho, Dooyeon
4
Delage, Erick
4
Escanciano, Juan Carlos
4
Garcia, René
4
Khalaf, Lynda
4
Panopulu, Aikaterinē
4
Righi, Marcelo Brutti
4
Tian, Maoxi
4
Vicente, Jose
4
Wang, Yudong
4
Westgaard, Sjur
4
Baillie, Richard
3
Bellini, Fabio
3
Bignozzi, Valeria
3
Bolancé, Catalina
3
Caporin, Massimiliano
3
Embrechts, Paul
3
Francq, Christian
3
Furman, Edward
3
Guidolin, Massimo
3
Hoogerheide, Lennart
3
Hurlin, Christophe
3
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Journal of banking & finance
2
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1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Management science : journal of the Institute for Operations Research and the Management Sciences
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ECONIS (ZBW)
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1
A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan
;
Guerrier, Stéphane
;
Scaillet, Olivier
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
Saved in:
2
Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Camponovo, Lorenzo
;
Scaillet, Olivier
;
Trojani, Fabio
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
3
,
pp. 377-387
Persistent link: https://www.econbiz.de/10011987504
Saved in:
3
Backtesting marginal expected shortfall and related systemic risk measures
Banulescu-Radu, Denisa
;
Hurlin, Christophe
;
Leymarie, …
- In:
Management science : journal of the Institute for …
67
(
2021
)
9
,
pp. 5730-5754
Persistent link: https://www.econbiz.de/10012650157
Saved in:
4
Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David
;
Scaillet, Olivier
- In:
Journal of banking & finance
29
(
2005
)
4
,
pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
Saved in:
5
On the way to recovery : a nonparametric bias free estimation of recovery rate densities
Renault, Olivier
;
Scaillet, Olivier
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2915-2931
Persistent link: https://www.econbiz.de/10002410710
Saved in:
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