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~person:"Adrian, Tobias"
~person:"Cai, Zongwu"
~person:"Pei, Pei"
~subject:"Credit risk"
~subject:"Estimation theory"
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Credit risk
Estimation theory
Risikomaß
26
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25
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11
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11
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10
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7
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6
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6
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Adrian, Tobias
Cai, Zongwu
Pei, Pei
Allen, David E.
19
Powell, Robert
14
Huschens, Stefan
12
McAleer, Michael
12
Gouriéroux, Christian
10
Ardia, David
9
Fermanian, Jean-David
9
Roszbach, Kasper
9
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8
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8
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8
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8
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8
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7
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7
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7
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6
Bernard, Carole
6
Chang, Chia-Lin
6
Düllmann, Klaus
6
Farkas, Walter
6
Scheule, Harald
6
Altman, Edward I.
5
Daouia, Abdelaati
5
De Jonghe, Olivier
5
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5
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5
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5
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5
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5
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5
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5
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5
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ECONIS (ZBW)
15
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1
A functional-coefficient VAR model for dynamic quantiles and its application to constructing nonparametric financial network
Cai, Zongwu
;
Liu, Xiyuan
;
Su, Liangjun
-
2024
Persistent link: https://www.econbiz.de/10014521096
Saved in:
2
A nonparametric dynamic network via multivariate quantile autoregressions
Cai, Zongwu
;
Liu, Xiyuan
-
2022
Persistent link: https://www.econbiz.de/10013283992
Saved in:
3
Realized volatility forecasting based on dynamic quantile model averaging
Cai, Zongwu
;
Ma, Chaoqun
;
Mi, Xianhua
-
2020
Persistent link: https://www.econbiz.de/10012312856
Saved in:
4
A functional-coefficient VAR model for dynamic quantiles with constructing financial network
Cai, Zongwu
;
Liu, Xiyuan
-
2020
Persistent link: https://www.econbiz.de/10012312878
Saved in:
5
Assessing tail risk using expectile regressions with partially varying coefficients
Cai, Zongwu
;
Fang, Ying
;
Tian, Dingshi
-
2018
Persistent link: https://www.econbiz.de/10011965749
Saved in:
6
Procyclical Leverage and
Value-at-Risk
Adrian, Tobias
-
2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks'
Value-at-Risk
(VaR). Motivated by the …
Persistent link: https://www.econbiz.de/10012459718
Saved in:
7
Procyclical Leverage and
Value-at-Risk
Adrian, Tobias
-
2013
. Empirically, we find that intermediary leverage is negatively aligned with the banks'
Value-at-Risk
(VaR). Motivated by the …
Persistent link: https://www.econbiz.de/10013083803
Saved in:
8
Pitfalls in backtesting historical simulation VaR Models
Escanciano, Juan Carlos
;
Pei, Pei
-
2012
Persistent link: https://www.econbiz.de/10009562976
Saved in:
9
Pitfalls in Backtesting Historical Simulation VAR Models
Escanciano, Juan Carlos
-
2012
Historical Simulation (HS) and its variant, the Filtered Historical Simulation (FHS), are the most widely used
Value-at-Risk
…
Persistent link: https://www.econbiz.de/10013108779
Saved in:
10
Backtesting portfolio
value-at-risk
with estimated portfolio weights
Pei, Pei
-
2010
Persistent link: https://www.econbiz.de/10008857817
Saved in:
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