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Ausreißer
7
Forecasting model
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Outliers
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Prognoseverfahren
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Herrera, Rodrigo
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International journal of forecasting
Insurance / Mathematics & economics
33
Discussion paper / Center for Economic Research, Tilburg University
21
Applied economics
16
Risks : open access journal
15
Economic modelling
14
Journal of banking & finance
14
Journal of econometrics
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Discussion paper / Tinbergen Institute
13
International review of financial analysis
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
The journal of operational risk
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Working papers / TSE : WP
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Economics letters
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Finance research letters
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Journal of empirical finance
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Journal of risk
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Energy economics
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Journal of international financial markets, institutions & money
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The North American journal of economics and finance : a journal of financial economics studies
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International review of economics & finance : IREF
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Journal of international money and finance
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SFB 649 discussion paper
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Journal of mathematical finance
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The journal of risk model validation
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Working paper / National Bureau of Economic Research, Inc.
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Applied economics letters
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CESifo working papers
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Dissertation Series CentER
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Journal of financial econometrics
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Working paper / Department of Economics, Lund University
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Astin bulletin : the journal of the International Actuarial Association
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CentER Discussion Paper Series
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Econometric reviews
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European journal of operational research : EJOR
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Financial markets and portfolio management
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1
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:
2
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
3
The uncertainty in extreme risk forecasts from covariate-augmented volatility models
Hoga, Yannick
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 675-686
Persistent link: https://www.econbiz.de/10012792861
Saved in:
4
On the statistical differences between binary forecasts and real-world payoffs
Taleb, Nassim Nicholas
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1228-1240
Persistent link: https://www.econbiz.de/10012546083
Saved in:
5
Portfolio optimization based on GARCH-EVT-Copula forecasting models
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 497-506
Persistent link: https://www.econbiz.de/10012031027
Saved in:
6
Frontiers in VaR forecasting and backtesting
Nieto, Maria Rosa
;
Ruiz, Esther
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 474-501
Persistent link: https://www.econbiz.de/10011597163
Saved in:
7
The modeling and forecasting of extreme events in electricity spot markets
Herrera, Rodrigo
;
González, Nicolás
- In:
International journal of forecasting
30
(
2014
)
3
,
pp. 477-490
Persistent link: https://www.econbiz.de/10010511552
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