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~isPartOf:"Journal of banking & finance"
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Prognoseverfahren
Risikomaß
209
Risk measure
209
Theorie
88
Theory
88
Portfolio selection
86
Portfolio-Management
86
Risikomanagement
53
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53
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48
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48
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34
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34
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33
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33
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31
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30
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23
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22
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22
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Systemrisiko
17
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15
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15
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14
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McAleer, Michael
8
Jiménez-Martín, Juan-Ángel
3
Pérez Amaral, Teodosio
3
Weiß, Gregor
3
Allen, David E.
2
Caporin, Massimiliano
2
McNeil, Alexander J.
2
Wied, Dominik
2
Ziggel, Daniel
2
Asai, Manabu
1
Asai, Manuabu
1
Banulescu, Georgiana-Denisa
1
Berens, Tobias
1
Dumitrescu, Elena-Ivona
1
Gagnon, Marie-Hélène
1
Gordy, Michael B.
1
Hua, Jian
1
Kiesel, Rüdiger
1
Kratz, Marie
1
León Valle, Ángel Manuel
1
Li, Yi
1
Lok, Yen H.
1
Lönnbark, Carl
1
Manzan, Sebastiano
1
Medeiros, Marcelo C.
1
Merlo, Luca
1
Petrella, Lea
1
Power, Gabriel J.
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Rahe, Florentin
1
Raponi, Valentina
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Scharth, Marcel
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Supper, Hendrik
1
Taylor, James W.
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Toupin, Dominique
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Wang, Pengfei
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Xiong, Xiong
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Zhang, Wei
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University of Canterbury / Dept. of Economics and Finance
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Journal of banking & finance
Working paper
International journal of forecasting
45
Journal of forecasting
31
Finance research letters
22
Discussion paper / Tinbergen Institute
17
Journal of financial econometrics : official journal of the Society for Financial Econometrics
17
Journal of empirical finance
14
Risks : open access journal
14
International review of financial analysis
13
Econometric Institute research papers
11
Journal of financial econometrics
11
Journal of risk
11
The North American journal of economics and finance : a journal of financial economics studies
11
The journal of risk model validation
11
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10
Applied economics
9
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9
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8
Journal of risk and financial management : JRFM
8
Applied economics letters
7
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7
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7
The European journal of finance
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CFS working paper series
6
European journal of operational research : EJOR
6
Journal of econometrics
6
Journal of risk management in financial institutions
6
International review of economics & finance : IREF
5
Research paper series / Swiss Finance Institute
5
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of commodity markets
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Pacific-Basin finance journal
4
Research in international business and finance
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SFB 649 discussion paper
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Annals of financial economics
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ECONIS (ZBW)
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1
The sum of all fears : forecasting international returns using option-implied risk measures
Gagnon, Marie-Hélène
;
Power, Gabriel J.
;
Toupin, Dominique
- In:
Journal of banking & finance
146
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014248207
Saved in:
2
Forecasting value at risk and expected shortfall using a model with a dynamic omega ratio
Taylor, James W.
- In:
Journal of banking & finance
140
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013463062
Saved in:
3
Downside risk and the cross-section of cryptocurrency returns
Zhang, Wei
;
Li, Yi
;
Xiong, Xiong
;
Wang, Pengfei
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256328
Saved in:
4
Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation
Merlo, Luca
;
Petrella, Lea
;
Raponi, Valentina
- In:
Journal of banking & finance
133
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10013256440
Saved in:
5
Modeling asset returns under time-varying semi-nonparametric distributions
León Valle, Ángel Manuel
;
Ñíguez, Trino-Manuel
- In:
Journal of banking & finance
118
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012520880
Saved in:
6
Spectral backtests of forecast distributions with application to risk management
Gordy, Michael B.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
116
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012489248
Saved in:
7
Risk measurement and risk modelling using applications of vine copulas
Allen, David E.
;
McAleer, Michael
;
Singh, Abhay Kumar
-
2014
Persistent link: https://www.econbiz.de/10010410215
Saved in:
8
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
9
Option pricing under time-varying risk-aversion with applications to risk forecasting
Kiesel, Rüdiger
;
Rahe, Florentin
- In:
Journal of banking & finance
76
(
2017
),
pp. 120-138
Persistent link: https://www.econbiz.de/10011814247
Saved in:
10
International evidence on GFC-robust forecasts for risk management under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2011
-
Rev.
Persistent link: https://www.econbiz.de/10009012232
Saved in:
11
GFC-robust risk management under the Basel Accord using extreme value methodologies
Santos, Paulo Araújo
;
Jiménez-Martín, Juan-Ángel
; …
-
2011
Persistent link: https://www.econbiz.de/10009413652
Saved in:
12
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
13
Modelling and forecasting noisy realized volatility
Asai, Manuabu
;
McAleer, Michael
;
Medeiros, Marcelo C.
-
2010
Persistent link: https://www.econbiz.de/10008669930
Saved in:
14
Realized volatility risk
Allen, David E.
;
McAleer, Michael
;
Scharth, Marcel
-
2010
Persistent link: https://www.econbiz.de/10008689075
Saved in:
15
GFC-robust risk management strategies under the Basel Accord
McAleer, Michael
;
Jiménez-Martín, Juan-Ángel
;
Pérez …
-
2010
-
Rev.
Persistent link: https://www.econbiz.de/10008695591
Saved in:
16
Model selection and testing of conditional and stochastic volatility models
Caporin, Massimiliano
;
McAleer, Michael
-
2010
Persistent link: https://www.econbiz.de/10008695598
Saved in:
17
Which are the SIFIs? : a component expected shortfall approach to systemic risk
Banulescu, Georgiana-Denisa
;
Dumitrescu, Elena-Ivona
- In:
Journal of banking & finance
50
(
2015
),
pp. 575-588
Persistent link: https://www.econbiz.de/10010510183
Saved in:
18
A new set of improved Value-at-Risk backtests
Ziggel, Daniel
;
Berens, Tobias
;
Weiß, Gregor
;
Wied, Dominik
- In:
Journal of banking & finance
48
(
2014
),
pp. 29-41
Persistent link: https://www.econbiz.de/10010506942
Saved in:
19
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor
;
Supper, Hendrik
- In:
Journal of banking & finance
37
(
2013
)
9
,
pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
Saved in:
20
On the role of the estimation error in prediction of expected shortfall
Lönnbark, Carl
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 847-853
Persistent link: https://www.econbiz.de/10009708735
Saved in:
21
Forecasting the return distribution using high-frequency volatility measures
Hua, Jian
;
Manzan, Sebastiano
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4381-4403
Persistent link: https://www.econbiz.de/10010247031
Saved in:
22
Forecasting value-at-risk using block structure multivariate stochastic volatility models
Asai, Manabu
;
Caporin, Massimiliano
;
McAleer, Michael
-
2012
-
Rev.
Persistent link: https://www.econbiz.de/10009562985
Saved in:
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