//--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
~isPartOf:"Journal of multinational financial management"
~isPartOf:"International journal of forecasting"
~subject:"Risikomaß"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Generalized autoregressive conditional heteroscedasticity"
Narrow search
Delete all filters
| 3 applied filters
Year of publication
From:
To:
Subject
All
Risikomaß
ARCH model
118
ARCH-Modell
118
Forecasting model
77
Prognoseverfahren
77
Volatility
71
Volatilität
71
Theorie
45
Theory
45
Capital income
44
Kapitaleinkommen
44
Time series analysis
30
Zeitreihenanalyse
30
Estimation
28
Schätzung
28
Risk measure
24
Börsenkurs
23
Share price
23
Aktienmarkt
20
Stock market
20
USA
18
United States
18
Statistical distribution
15
Statistische Verteilung
15
Realized volatility
14
Volatility forecasting
14
Estimation theory
13
Schätztheorie
13
Exchange rate
12
Markov chain
12
Markov-Kette
12
Wechselkurs
12
Welt
12
World
12
Portfolio selection
11
Portfolio-Management
11
GARCH models
10
Correlation
8
GARCH
8
Korrelation
8
more ...
less ...
Online availability
All
Undetermined
16
Free
1
Type of publication
All
Article
24
Type of publication (narrower categories)
All
Article in journal
24
Aufsatz in Zeitschrift
24
Language
All
English
24
Author
All
Ardia, David
1
Assaf, Ata
1
Bams, Dennis
1
Bianchi, Michele Leonardo
1
Blanchard, Gildas
1
Bluteau, Keven
1
Boffelli, Simona
1
Boudt, Kris
1
Cardós, Manuel
1
Catania, Leopoldo
1
Chen, Qian
1
De Luca, Giovanni
1
Dionne, Georges
1
Evans, Kevin P.
1
Fortin, Alain-Philippe
1
Fu, Jin-Yu
1
Fuertes, Ana María
1
Gerlach, Richard H.
1
González, Nicolás
1
González-Rivera, Gloria
1
Gray, Philip K.
1
Greenwood, David
1
Hao, Hong-Xia
1
Herrera, Rodrigo
1
Hoga, Yannick
1
Kam Fong Chan
1
Kang, Kyu Ho
1
Kim, Dongwhan
1
Kourentzes, Nikolaos
1
Lazar, Emese
1
Leccadito, Arturo
1
Lee, Tae-hwy
1
Lehnert, Thorsten
1
Lin, Jin-Guan
1
Lucas, André
1
McMillan, David G.
1
Meng, Xiaochun
1
Mishra, Santosh
1
Mucha-Kruczyński, Marcin
1
Nieto, Maria Rosa
1
more ...
less ...
Published in...
All
Journal of multinational financial management
International journal of forecasting
Energy economics
28
Journal of empirical finance
26
The North American journal of economics and finance : a journal of financial economics studies
25
Journal of banking & finance
23
Finance research letters
22
Journal of risk
22
Economic modelling
21
Applied economics
20
Journal of risk and financial management : JRFM
16
International review of financial analysis
15
The journal of risk model validation
15
Working papers
15
Journal of forecasting
14
International review of economics & finance : IREF
11
Journal of econometrics
11
Research in international business and finance
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
10
Journal of international financial markets, institutions & money
9
Discussion paper / Tinbergen Institute
8
Econometric Institute research papers
8
Journal of financial econometrics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Risks : open access journal
8
The European journal of finance
8
Applied economics letters
7
CORE discussion paper : DP
7
Computational economics
7
Insurance / Mathematics & economics
7
International journal of economics and financial issues : IJEFI
7
Journal of mathematical finance
7
Pacific-Basin finance journal
7
Quantitative finance
7
Research paper series / Swiss Finance Institute
7
Risk management : a journal of risk, crisis and disaster
7
CFS working paper series
6
Review of quantitative finance and accounting
6
Annals of financial economics
5
Swiss Finance Institute Research Paper
5
CORE discussion papers : DP
4
more ...
less ...
Source
All
ECONIS (ZBW)
24
Showing
1
-
24
of
24
Sort
Relevance
Date (newest first)
Date (oldest first)
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 expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
3
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
4
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
5
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:
6
Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan
;
Kang, Kyu Ho
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
Saved in:
7
Forecasting value at risk with intra-day return curves
Rice, Gregory
;
Wirjanto, Tony S.
;
Zhao, Yuqian
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1023-1038
Persistent link: https://www.econbiz.de/10012497181
Saved in:
8
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
9
Forecasting Bitcoin risk measures : a robust approach
Trucíos, Carlos
- In:
International journal of forecasting
35
(
2019
)
3
,
pp. 836-847
Persistent link: https://www.econbiz.de/10012305182
Saved in:
10
Quantile forecast optimal combination to enhance safety stock estimation
Trapero, Juan R.
;
Cardós, Manuel
;
Kourentzes, Nikolaos
- In:
International journal of forecasting
35
(
2019
)
1
,
pp. 239-250
Persistent link: https://www.econbiz.de/10012300607
Saved in:
11
An approximate long-memory range-based approach for value at risk estimation
Meng, Xiaochun
;
Taylor, James W.
- In:
International journal of forecasting
34
(
2018
)
3
,
pp. 377-388
Persistent link: https://www.econbiz.de/10012030985
Saved in:
12
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:
13
Forecasting risk with Markov-switching GARCH models : a large-scale performance study
Ardia, David
;
Bluteau, Keven
;
Boudt, Kris
;
Catania, Leopoldo
- In:
International journal of forecasting
34
(
2018
)
4
,
pp. 733-747
Persistent link: https://www.econbiz.de/10012031094
Saved in:
14
Volatility measures and Value-at-Risk
Bams, Dennis
;
Blanchard, Gildas
;
Lehnert, Thorsten
- In:
International journal of forecasting
33
(
2017
)
4
,
pp. 848-863
Persistent link: https://www.econbiz.de/10011746918
Saved in:
15
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
Lucas, André
;
Zhang, Xin
- In:
International journal of forecasting
32
(
2016
)
2
,
pp. 293-302
Persistent link: https://www.econbiz.de/10011596763
Saved in:
16
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:
17
Value-at-Risk analysis in the MENA equity markets: fat tails and conditional asymmetries in return distributions
Assaf, Ata
- In:
Journal of multinational financial management
29
(
2015
),
pp. 30-45
Persistent link: https://www.econbiz.de/10011539511
Saved in:
18
Evaluating the accuracy of value-at-risk forecasts : new multilevel tests
Leccadito, Arturo
;
Boffelli, Simona
;
Urga, Giovanni
- In:
International journal of forecasting
30
(
2014
)
2
,
pp. 206-216
Persistent link: https://www.econbiz.de/10010510949
Saved in:
19
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
Saved in:
20
Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction
Fuertes, Ana María
;
Olmo, Jose
- In:
International journal of forecasting
29
(
2013
)
1
,
pp. 28-42
Persistent link: https://www.econbiz.de/10009706180
Saved in:
21
The two-sided Weibull distribution and forecasting financial tail risk
Chen, Qian
;
Gerlach, Richard H.
- In:
International journal of forecasting
29
(
2013
)
4
,
pp. 541-547
Persistent link: https://www.econbiz.de/10010212495
Saved in:
22
How useful is intraday data for evaluating daily value-at-risk? : evidence from three Euro rates
McMillan, David G.
;
Speight, Alan E. H.
;
Evans, Kevin P.
- In:
Journal of multinational financial management
18
(
2008
)
5
,
pp. 488-503
Persistent link: https://www.econbiz.de/10003789977
Saved in:
23
Using extreme value theory to measure value-at-risk for daily electricity spot prices
Kam Fong Chan
;
Gray, Philip K.
- In:
International journal of forecasting
22
(
2006
)
2
,
pp. 283-300
Persistent link: https://www.econbiz.de/10003315660
Saved in:
24
Forecasting volatility : a reality check based on option pricing, utility function, value-at-risk, and predictive likelihood
González-Rivera, Gloria
;
Lee, Tae-hwy
;
Mishra, Santosh
- In:
International journal of forecasting
20
(
2004
)
4
,
pp. 629-645
Persistent link: https://www.econbiz.de/10002434305
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->