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~person:"Ardia, David"
~person:"Fuertes, Ana María"
~person:"Gupta, Rangan"
~subject:"Prognoseverfahren"
~type_genre:"Article in journal"
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Search: subject_exact:"Risk measure"
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Prognoseverfahren
Risikomaß
22
Risk measure
22
Forecasting model
13
Volatility
12
Volatilität
12
ARCH model
10
ARCH-Modell
10
Capital income
10
Estimation
10
Kapitaleinkommen
10
Schätzung
10
Börsenkurs
8
Share price
8
Time series analysis
7
Zeitreihenanalyse
7
GARCH
6
Portfolio selection
5
Portfolio-Management
5
Risk management
5
Value-at-Risk
5
Aktienmarkt
4
Risikomanagement
4
Statistical distribution
4
Statistische Verteilung
4
Stock market
4
Estimation theory
3
Forecasting
3
Markov chain
3
Markov-Kette
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Risiko
3
Risk
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Schätztheorie
3
Securities trading
3
Spillover effect
3
Spillover-Effekt
3
USA
3
United States
3
Welt
3
Wertpapierhandel
3
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Undetermined
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Article
13
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Article in journal
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13
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3
Graue Literatur
3
Non-commercial literature
3
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English
13
Author
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Ardia, David
Fuertes, Ana María
Gupta, Rangan
Gerlach, Richard
10
McAleer, Michael
8
Chen, Cathy W. S.
7
Degiannakis, Stavros
7
Taylor, James W.
7
Weiß, Gregor
7
Wang, Chao
6
Chlebus, Marcin
5
Pierdzioch, Christian
5
Righi, Marcelo Brutti
5
Storti, Giuseppe
5
Bee, Marco
4
Berger, Theo
4
Herrera, Rodrigo
4
Hoga, Yannick
4
Hurlin, Christophe
4
Kok Haur Ng
4
Lönnbark, Carl
4
Müller, Fernanda Maria
4
Naimoli, Antonio
4
Salisu, Afees A.
4
Trapin, Luca
4
Wied, Dominik
4
Ziggel, Daniel
4
Almeida, Caio
3
Ardison, Kym
3
Asai, Manabu
3
Berens, Tobias
3
Blazsek, Szabolcs
3
Brownlees, Christian
3
Catania, Leopoldo
3
Da Veiga, Bernardo
3
Diao, Xundi
3
Floros, Christos
3
Garcia, René
3
Gillas, Konstantinos Gkillas
3
Hoogerheide, Lennart
3
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International journal of forecasting
3
Finance research letters
2
The North American journal of economics and finance : a journal of financial economics studies
2
Applied economics letters
1
Economics letters
1
Energy economics
1
International review of finance : the official journal of the Asia Pacific Finance Association and the Nippon Finance Association
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
Journal of time series econometrics
1
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ECONIS (ZBW)
13
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1
Climate risks and U.S. stock-market tail risk : a forecasting experiment using over a century of data
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
; …
- In:
International review of finance : the official journal …
23
(
2023
)
2
,
pp. 228-244
Persistent link: https://www.econbiz.de/10014326299
Saved in:
2
Predictability of tail risks of Canada and the U.S. over a century : the role of spillovers and oil tail risks
Salisu, Afees A.
;
Gupta, Rangan
;
Pierdzioch, Christian
- In:
The North American journal of economics and finance : a …
59
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013413542
Saved in:
3
Oil tail risks and the forecastability of the realized variance of oil-price : evidence from over 150 years of data
Salisu, Afees A.
;
Pierdzioch, Christian
;
Gupta, Rangan
- In:
Finance research letters
46
(
2022
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10013341577
Saved in:
4
Forecasting realized gold volatility : is there a role of geopolitical risks?
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
; …
- In:
Finance research letters
35
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012438328
Saved in:
5
Time-varying risk aversion and realized gold volatility
Demirer, Rıza
;
Gillas, Konstantinos Gkillas
;
Gupta, Rangan
- In:
The North American journal of economics and finance : a …
50
(
2019
)
101048
,
pp. 1-16
Persistent link: https://www.econbiz.de/10012204443
Saved in:
6
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David
;
Bluteau, Keven
;
Boudt, Kris
;
Catania, Leopoldo
- In:
International journal of forecasting
34
(
2018
)
4
,
pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
Saved in:
7
Methods for computing numerical standard errors : review and application to value-at-risk estimation
Ardia, David
;
Bluteau, Keven
;
Hoogerheide, Lennart
- In:
Journal of time series econometrics
10
(
2018
)
2
,
pp. 1-9
Persistent link: https://www.econbiz.de/10011898020
Saved in:
8
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
Saved in:
9
Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
- In:
Energy economics
56
(
2016
),
pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
Saved in:
10
GARCH models for daily stock returns : impact of estimation frequency on Value-at-Risk and Expected Shortfall forecasts
Ardia, David
;
Hoogerheide, Lennart F.
- In:
Economics letters
123
(
2014
)
2
,
pp. 187-190
Persistent link: https://www.econbiz.de/10010400299
Saved in:
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