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subject:"Prognoseverfahren"
~subject:"USA"
~isPartOf:"Journal of financial econometrics"
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Prognoseverfahren
USA
Statistical distribution
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Capital income
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expected shortfall
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Cai, Charlie X.
1
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1
Hoga, Yannick
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Joe, Harry
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Kim, Minjoo
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Li, Guofu
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Metaxoglou, Kostantinos
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Pan, Shenyi
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Smith, Aaron D.
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Journal of financial econometrics
International journal of forecasting
74
Journal of forecasting
38
Discussion paper / Tinbergen Institute
27
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
24
Journal of econometrics
22
Journal of banking & finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
10
The journal of derivatives : the official publication of the International Association of Financial Engineers
10
Econometrics : open access journal
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The European journal of finance
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The review of economics and statistics
9
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Applied economics
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Applied financial economics
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ECB Working Paper
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Economics letters
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Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
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Insurance / Mathematics & economics
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The journal of futures markets
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Finance research letters
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International review of economics & finance : IREF
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Conditional inferences based on vine copulas with applications to credit spread data of corporate bonds
Pan, Shenyi
;
Joe, Harry
;
Li, Guofu
- In:
Journal of financial econometrics
21
(
2023
)
3
,
pp. 714-741
Persistent link: https://www.econbiz.de/10014314788
Saved in:
2
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:
3
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:
4
Density forecast evaluations via a simulation-based dynamic probability integral transformation
Yun, Jaeho
- In:
Journal of financial econometrics
18
(
2020
)
1
,
pp. 24-58
Persistent link: https://www.econbiz.de/10012180381
Saved in:
5
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:
6
Option-implied equity premium predictions via entropic tilting
Metaxoglou, Kostantinos
;
Pettenuzzo, Davide
;
Smith, Aaron D.
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 559-586
Persistent link: https://www.econbiz.de/10012149844
Saved in:
7
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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