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~type_genre:"Article in journal"
~subject:"Estimation"
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Estimation
Risikomaß
4,343
Risk measure
4,343
Theorie
2,035
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2,035
Portfolio selection
1,697
Portfolio-Management
1,697
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1,348
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1,338
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1,333
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1,331
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722
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326
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324
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324
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312
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311
Credit risk
309
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309
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297
Bankrisiko
297
Estimation theory
290
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Article in journal
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642
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Gupta, Rangan
6
Francq, Christian
5
Gerlach, Richard
5
Long, Huaigang
5
Uryasev, Stan
5
Zakoïan, Jean-Michel
5
Bali, Turan G.
4
Jiang, Cuixia
4
Pierdzioch, Christian
4
Salisu, Afees A.
4
Taylor, James W.
4
Xu, Qifa
4
Ahelegbey, Daniel Felix
3
Almeida, Caio
3
Ardison, Kym
3
Barunik, Jozef
3
Bee, Marco
3
Caporin, Massimiliano
3
Chen, Cathy W. S.
3
Chiang, Thomas C.
3
Degiannakis, Stavros
3
Dempsey, Michael
3
Escanciano, Juan Carlos
3
Fabozzi, Frank J.
3
Garcia, René
3
Giudici, Paolo
3
Herrera, Rodrigo
3
Hong, L. Jeff
3
Huang, Alex
3
Huang, Zhuo
3
Härdle, Wolfgang
3
Jiang, Yuexiang
3
Kang, Sang Hoon
3
Kumar, Dilip
3
Linh Hoang Nguyen
3
Ma, Feng
3
Manganelli, Simone
3
McAleer, Michael
3
Mensi, Walid
3
Mozumder, Sharif
3
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Journal of banking & finance
25
Journal of risk
22
The North American journal of economics and finance : a journal of financial economics studies
20
Finance research letters
19
Applied economics
18
Economic modelling
16
Energy economics
16
International review of financial analysis
16
International journal of forecasting
15
Journal of econometrics
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Journal of empirical finance
13
Insurance / Mathematics & economics
12
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
Risks : open access journal
11
The journal of risk model validation
11
Quantitative finance
10
Research in international business and finance
10
International review of economics & finance : IREF
9
Journal of risk and financial management : JRFM
9
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
9
Journal of financial econometrics
8
Pacific-Basin finance journal
8
Economics letters
7
Journal of forecasting
7
Journal of international financial markets, institutions & money
7
Computational economics
6
Journal of mathematical finance
6
International journal of finance & economics : IJFE
5
Journal of economic dynamics & control
5
Journal of risk : JOR
5
Management science : journal of the Institute for Operations Research and the Management Sciences
5
Applied economics letters
4
Empirical economics : a quarterly journal of the Institute for Advanced Studies
4
International journal of economics and finance
4
Journal of international money and finance
4
Journal of investment management : JOIM
4
Risk management : a journal of risk, crisis and disaster
4
Studies in economics and finance
4
ASTIN bulletin : the journal of the International Actuarial Association
3
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ECONIS (ZBW)
642
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642
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1
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:
2
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:
3
Formulating MCoVaR to quantify joint transmissions of systemic risk across crypto and non-crypto markets : a multivariate copula approach
Hakim, Arief
;
Syuhada, Khreshna
- In:
Risks : open access journal
11
(
2023
)
2
,
pp. 1-45
-called multivariate conditional
value-at-risk
(MCoVaR), which measures the tail risk of a targeted asset from each market conditional on a …
Persistent link: https://www.econbiz.de/10014234393
Saved in:
4
The effect of COVID-19 on cryptocurrencies and the stock market volatility : a two-stage DCC-EGARCH model analysis
Ampountolas, Apostolos
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-17
financial portfolio returns from 2019 to 2020. Moreover, we used
value-at-risk
(VaR) and
value-at-risk
measurements based on the …
Persistent link: https://www.econbiz.de/10014295230
Saved in:
5
Cryptocurrency trading and downside risk
Iqbal, Farhat
;
Zahid, Mamoona
;
Koutmos, Dimitrios
- In:
Risks : open access journal
11
(
2023
)
7
,
pp. 1-18
investigate the
value-at-risk
(VaR) forecasts using a variety of volatility models, including conditional autoregressive VaR …
Persistent link: https://www.econbiz.de/10014335948
Saved in:
6
Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models
Nilchi, Moslem
;
Farid, Daryush
;
Peymany, Moslem
; …
- In:
Iranian journal of finance
7
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014429053
Saved in:
7
Extremal quantiles and stock price crashes
Andreou, Panayiotis C.
;
Anyfantaki, Sofia
;
Maasoumi, …
- In:
Econometric reviews
42
(
2023
)
9/10
,
pp. 703-724
Persistent link: https://www.econbiz.de/10014420354
Saved in:
8
How do empirical estimators of popular risk measures impact pro-cyclicality?
Bräutigam, Marcel
;
Kratz, Marie
- In:
Annals of actuarial science : publ. by the Institute of …
17
(
2023
)
3
,
pp. 547-579
Persistent link: https://www.econbiz.de/10014436789
Saved in:
9
Modelling mortality : a Bayesian factor-augmented VAR (FAVAR) approach
Lu, Yang
;
Zhu, Dan
- In:
ASTIN bulletin : the journal of the International …
53
(
2023
)
1
,
pp. 29-61
Persistent link: https://www.econbiz.de/10014247639
Saved in:
10
Assessing the accuracy of exponentially weighted moving average models for
value-at-risk
and expected shortfall of crypto portfolios
Alexander, Carol
;
Dakos, Michael
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 393-427
Persistent link: https://www.econbiz.de/10014232660
Saved in:
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