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isPartOf:"The journal of risk model validation"
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Ausreißer
6
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6
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4
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extreme value theory
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Gonpot, Preethee Nunkoo
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Chan, Lina
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Graham, Alasdair
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Ng, Dany Allen Nicholas Cheong Vee
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The journal of risk model validation
Insurance / Mathematics & economics
33
MPRA Paper
27
Discussion paper / Center for Economic Research, Tilburg University
22
Journal of banking & finance
18
Applied economics
17
Economic modelling
16
Discussion paper / Tinbergen Institute
15
Journal of econometrics
15
Risks : open access journal
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Finance research letters
13
International review of financial analysis
12
Working papers / TSE : WP
12
Journal of empirical finance
11
Physica A: Statistical Mechanics and its Applications
11
The journal of operational risk
11
Tinbergen Institute Discussion Papers
11
Economics letters
10
Energy economics
9
Journal of risk
9
DNB working paper
8
International journal of forecasting
8
International review of economics & finance : IREF
8
Journal of Banking & Finance
8
Journal of international financial markets, institutions & money
8
The North American journal of economics and finance : a journal of financial economics studies
8
Journal of international money and finance
7
SFB 649 discussion paper
7
Tinbergen Institute Discussion Paper
7
DNB Working Papers
6
ECB Working Paper
6
European journal of operational research : EJOR
6
Journal of mathematical finance
6
Risks
6
Working paper
6
Working paper / National Bureau of Economic Research, Inc.
6
Annals of the Institute of Statistical Mathematics
5
Applied economics letters
5
Astin bulletin : the journal of the International Actuarial Association
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1
Value-at-risk estimation with the Carr-Geman-Madan-Yor process : an empirical study on foreign exchange rates
Choi, Sun-Yong
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011527478
Saved in:
2
Risk model validation for BRICS countries : a value-at-risk, expected shortfall and extreme value theory approach
Wing, Jean Paul Chung
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011410313
Saved in:
3
Value-at-risk bounds for multivariate heavy tailed distribution : an application to the Glosten-Jagannathan-Runkle generalized autoregressive conditional heteroscedasticity model
Gammoudi, Imed
;
El Ghourabi, Mohamed
;
Belkacem, Lotfi
- In:
The journal of risk model validation
10
(
2016
)
3
,
pp. 49-68
Persistent link: https://www.econbiz.de/10011587684
Saved in:
4
Comprehensive capital analysis and review stress tests : is regression the only tool for loss projection?
Siarka, Pawel
;
Chan, Lina
- In:
The journal of risk model validation
9
(
2015
)
3
,
pp. 71-99
Persistent link: https://www.econbiz.de/10011410324
Saved in:
5
Forecasting value-at-risk for frontier stock market indexes using GARCH-type models and extreme value theory : model validation for dynamic models
Ng, Dany Allen Nicholas Cheong Vee
;
Gonpot, Preethee Nunkoo
- In:
The journal of risk model validation
8
(
2014
)
4
,
pp. 47-67
Persistent link: https://www.econbiz.de/10010506584
Saved in:
6
Backtesting value-at-risk tail losses on a dynamic portfolio
Graham, Alasdair
;
Pál, János
- In:
The journal of risk model validation
8
(
2014
)
2
,
pp. 59-96
Persistent link: https://www.econbiz.de/10010394657
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