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  • Search: person:"Tafakori, Laleh"
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Year of publication
Subject
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Forecasting model 4 Prognoseverfahren 4 Volatility 4 Volatilität 4 ARCH model 3 ARCH-Modell 3 Risikomaß 3 Risk measure 3 Theorie 3 Theory 3 Time series analysis 3 Zeitreihenanalyse 3 Correlation 2 Estimation 2 Financial crisis 2 Finanzkrise 2 Korrelation 2 Multivariate Verteilung 2 Multivariate distribution 2 Schätzung 2 Systemic risk 2 Systemrisiko 2 Ansteckungseffekt 1 Approximate Maximum Likelihood 1 Australia 1 Australien 1 Back-testing 1 Bankenkrise 1 Banking crisis 1 Bivariate stable distributions 1 Capital income 1 Capital market returns 1 Characteristic function 1 Contagion effect 1 Credit risk 1 Default probability 1 Dvine copula 1 Electric power industry 1 Electricity price 1 Electricity prices 1
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Online availability
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Undetermined 5 Free 2
Type of publication
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Article 5 Book / Working Paper 2
Type of publication (narrower categories)
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Article in journal 5 Aufsatz in Zeitschrift 5 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 7
Author
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Tafakori, Laleh 7 Pourkhanali, Armin 5 Bee, Marco 3 Fard, Farzad Alavi 2 Manner, Hans 2 Kim, Jong-Min 1 Quiroz, Matias 1 Rastelli, Riccardo 1 Soltani, Ahmad Reza 1
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Published in...
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Economic modelling 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 Energy economics 1 Graz economics papers : GEP 1 International review of financial analysis 1 Quantitative finance 1
Source
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ECONIS (ZBW) 7
Showing 1 - 7 of 7
Cover Image
Forecasting realized covariances using HAR-type models
Quiroz, Matias; Tafakori, Laleh; Manner, Hans - 2024
Persistent link: https://www.econbiz.de/10015185217
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Forecasting Value-at-Risk Using Functional Volatility Incorporating an Exogenous Effect
Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - 2023
This paper proposes a novel extension of log and exponential GARCH models, where time-varying parameters are approximated by orthogonal polynomial systems. These expansions enable us to add and study the effects of market-wide and external international shocks on the volatility forecasts and...
Persistent link: https://www.econbiz.de/10014257426
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Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin; Tafakori, Laleh; Bee, Marco - In: International review of financial analysis 89 (2023), pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
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Measuring systemic risk and contagion in the European financial network
Tafakori, Laleh; Pourkhanali, Armin; Rastelli, Riccardo - In: Empirical economics : a quarterly journal of the … 63 (2022) 1, pp. 345-389
Persistent link: https://www.econbiz.de/10013440290
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Some analytical results on bivariate stable distributions with an application in operational risk
Tafakori, Laleh; Bee, Marco; Soltani, Ahmad Reza - In: Quantitative finance 22 (2022) 7, pp. 1355-1369
Persistent link: https://www.econbiz.de/10013367907
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Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae
Manner, Hans; Fard, Farzad Alavi; Pourkhanali, Armin; … - In: Energy economics 78 (2019), pp. 143-164
Persistent link: https://www.econbiz.de/10012159908
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Measuring systemic risk using vine-copula
Pourkhanali, Armin; Kim, Jong-Min; Tafakori, Laleh; … - In: Economic modelling 53 (2016), pp. 63-74
Persistent link: https://www.econbiz.de/10011640962
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