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~isPartOf:"International journal of theoretical and applied finance"
~isPartOf:"Journal of risk"
~subject:"ARCH model"
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ARCH model
Statistical distribution
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Statistische Verteilung
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Theorie
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Option pricing theory
27
Optionspreistheorie
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22
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Abad, Pilar
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Badescu, Alexandru
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Benito Muela, Sonia
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Berens, Tobias
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Elliott, Robert J.
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International journal of theoretical and applied finance
Journal of risk
Journal of econometrics
15
Discussion paper / Tinbergen Institute
14
International journal of forecasting
14
Journal of empirical finance
14
Economic modelling
12
The European journal of finance
11
Applied economics
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Finance research letters
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Journal of forecasting
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Research paper series / Swiss Finance Institute
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Swiss Finance Institute Research Paper
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The North American journal of economics and finance : a journal of financial economics studies
9
International review of financial analysis
8
Journal of banking & finance
8
International review of economics & finance : IREF
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of risk and financial management : JRFM
7
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
7
Economics letters
6
Energy economics
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Journal of financial econometrics
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Annals of financial economics
5
Computational economics
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Econometrics : open access journal
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Journal of economic dynamics & control
5
Applied economics letters
4
Discussion paper
4
Global business & economics review
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Review of quantitative finance and accounting
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Risks : open access journal
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Cambridge working papers in economics
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Diskussionspapiere / Friedrich-Alexander-Universität Erlangen-Nürnberg, Lehrstuhl für Statistik und Ökonometrie
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Econometric reviews
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Journal of international financial markets, institutions & money
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1
Making Cornish-Fisher fit for risk measurement
Lamb, John D.
;
Monville, Maura E.
;
Tee, Kaihong
- In:
Journal of risk
21
(
2018/2019
)
5
,
pp. 53-81
Persistent link: https://www.econbiz.de/10012059934
Saved in:
2
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
3
Evaluating the performance of the skewed distributions to forecast value-at-risk in the global financial crisis
Abad, Pilar
;
Benito Muela, Sonia
;
López-Martín, Carmen
; …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011598265
Saved in:
4
Approximating the multivariate distribution of time-aggregated stock returns under GARCH
Simonato, Jean-Guy
- In:
Journal of risk
16
(
2013
)
2
,
pp. 25-49
Persistent link: https://www.econbiz.de/10010237931
Saved in:
5
Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo
;
D'Addona, Stefano
;
Račev, Svetlozar T.
- In:
International journal of theoretical and applied finance
15
(
2012
)
4
,
pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
Saved in:
6
A comparison of pricing kernels for GARCH option pricing with generalized hyperbolic distributions
Badescu, Alexandru
;
Elliott, Robert J.
;
Kulperger, Reg
; …
- In:
International journal of theoretical and applied finance
14
(
2011
)
5
,
pp. 669-708
Persistent link: https://www.econbiz.de/10009298478
Saved in:
7
Historical volatility distribution in Gaussian and GARCH (1,1) models
Molgedey, Lutz
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 417
Persistent link: https://www.econbiz.de/10001522909
Saved in:
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