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~subject:"Prognoseverfahren"
~isPartOf:"Journal of financial econometrics"
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Prognoseverfahren
Risikomaß
26
Risk measure
26
Theorie
14
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14
Statistical distribution
12
Statistische Verteilung
12
Forecasting model
11
ARCH model
8
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expected shortfall
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value-at-risk
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forecasting
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Statistical test
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backtesting
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extreme value theory
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Börsenkurs
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Dimitriadis, Timo
2
Hoga, Yannick
2
Bayer, Sebastian
1
Bee, Marco
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Dupuis, Debbie J.
1
Fasciati, Fernando
1
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1
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1
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1
Peng, Shige
1
Sanchis-Marco, Lidia
1
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1
Shin, Yongcheol
1
Stander, Julian
1
Trapin, Luca
1
Wang, Chao
1
Yang, Shuzhen
1
Yao, Jianfeng
1
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1
Ziegel, Johanna F.
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Journal of financial econometrics
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 banking & finance
14
Journal of empirical finance
14
Risks : open access journal
14
International review of financial analysis
13
Econometric Institute research papers
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
Quantitative finance
10
Applied economics
9
Energy economics
9
Computational economics
8
Journal of risk and financial management : JRFM
8
Working paper
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Applied economics letters
7
Economic modelling
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Journal of economic dynamics & control
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
Discussion papers / CEPR
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of commodity markets
4
Pacific-Basin finance journal
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Research in international business and finance
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SFB 649 discussion paper
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Annals of financial economics
3
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1
Regression-based expected shortfall backtesting
Bayer, Sebastian
;
Dimitriadis, Timo
- In:
Journal of financial econometrics
20
(
2022
)
3
,
pp. 437-471
Persistent link: https://www.econbiz.de/10013349110
Saved in:
2
Encompassing tests for value at risk and expected shortfall multistep forecasts based on inference on the boundary
Dimitriadis, Timo
;
Liu, Xiaochun
;
Schnaitmann, Julie
- In:
Journal of financial econometrics
21
(
2023
)
2
,
pp. 412-444
Persistent link: https://www.econbiz.de/10014314753
Saved in:
3
Measuring systemic risk using multivariate quantile-located ES models
Garcia-Jorcano, Laura
;
Sanchis-Marco, Lidia
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 1-72
Persistent link: https://www.econbiz.de/10013542847
Saved in:
4
Improving value-at-risk prediction under model uncertainty
Peng, Shige
;
Yang, Shuzhen
;
Yao, Jianfeng
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 228-259
Persistent link: https://www.econbiz.de/10013542865
Saved in:
5
Limit theory for forecasts of extreme distortion risk measures and expectiles
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 18-44
Persistent link: https://www.econbiz.de/10012878185
Saved in:
6
Bayesian semi-parametric realized conditional autoregressive expectile models for tail risk forecasting
Gerlach, Richard
;
Wang, Chao
- In:
Journal of financial econometrics
20
(
2022
)
1
,
pp. 105-138
Persistent link: https://www.econbiz.de/10012878188
Saved in:
7
Modeling time-varying tail dependence, with application to systemic risk forecasting
Hoga, Yannick
- In:
Journal of financial econometrics
20
(
2022
)
5
,
pp. 1007-1037
Persistent link: https://www.econbiz.de/10013460046
Saved in:
8
Robust forecast evaluation of expected shortfall
Ziegel, Johanna F.
;
Krüger, Fabian
;
Jordan, Alexander I.
; …
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 95-120
Persistent link: https://www.econbiz.de/10012180402
Saved in:
9
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
10
Realized peaks over threshold : a time-varying extreme value approach with high-frequency-based measures
Bee, Marco
;
Dupuis, Debbie J.
;
Trapin, Luca
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 254-283
Persistent link: https://www.econbiz.de/10012054440
Saved in:
11
FARVaR : functional autoregressive value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
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