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Kapitaleinkommen
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7,333
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ECONIS (ZBW)
753
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1
The quantum harmonic oscillator
expected
shortfall
model
Markovic, Vladimir M.
;
Radivojevic, Nikola
;
Ivanovic, …
- In:
Estudios de economía
50
(
2023
)
2
,
pp. 233-261
This paper presents a new
Expected
Shortfall
(ES) model based on the Quantum Harmonic Oscillator (QHO). It is used to …
Persistent link: https://www.econbiz.de/10014450737
Saved in:
2
Bootstrapping time-varying uncertainty intervals for extreme daily return periods
Makatjane, Katleho
- In:
International Journal of Financial Studies : open …
10
(
2022
)
1
,
pp. 1-23
Expected
Shortfall
(ES) uncertainty intervals in high frequency data. A Bayesian bootstrapping and backtest density forecasts …
Persistent link: https://www.econbiz.de/10012804913
Saved in:
3
Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or
expected
shortfall
?
Abraham, Rebecca
;
El-Chaarani, Hani
;
Tao, Zhi
- In:
Journal of risk and financial management : JRFM
15
(
2022
)
2
,
pp. 1-31
% confidence level, and Value-at-Risk at a 99% confidence level.
Expected
Shortfall
was another extreme risk value measure. The …
Persistent link: https://www.econbiz.de/10012872607
Saved in:
4
Forecasting value at risk and
expected
shortfall
using high-frequency data of domestic and international stock markets
Wang, Man
;
Cheng, Yihan
- In:
Journal of forecasting
41
(
2022
)
8
,
pp. 1595-1607
Persistent link: https://www.econbiz.de/10013465725
Saved in:
5
Polynomial adjusted student-t densities for modeling asset returns
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
The European journal of finance
28
(
2022
)
9
,
pp. 907-929
Persistent link: https://www.econbiz.de/10013373353
Saved in:
6
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
7
Testing the correct specification of a system of spatial dependence models for stock returns
Kutzker, Tim
;
Wied, Dominik
- In:
Empirical economics : a quarterly journal of the …
66
(
2024
)
5
,
pp. 2083-2103
Persistent link: https://www.econbiz.de/10014520115
Saved in:
8
Forecasting VaR and ES in emerging markets : the role of time-varying higher moments
Trung Hai Le
- In:
Journal of forecasting
43
(
2024
)
2
,
pp. 402-414
Persistent link: https://www.econbiz.de/10014475347
Saved in:
9
Better the devil you know : improved forecasts from imperfect models
Oh, Dong Hwan
;
Patton, Andrew J.
-
2021
-
This draft: October 2021
Persistent link: https://www.econbiz.de/10012704988
Saved in:
10
An application of Regular Vine copula in portfolio risk forecasting : evidence from Istanbul stock exchange
Özgür, Cemile
;
Sarıkovanlık, Vedat
- In:
Quantitative finance and economics
5
(
2021
)
3
,
pp. 452-470
Persistent link: https://www.econbiz.de/10012592480
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