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Dijk, Herman K. van
47
Ravazzolo, Francesco
44
Fabozzi, Frank J.
42
Härdle, Wolfgang
39
Račev, Svetlozar T.
38
Lucas, André
30
McAleer, Michael
30
Mitchell, James
30
Opschoor, Anne
30
Paolella, Marc S.
30
Casarin, Roberto
29
Einmahl, John H. J.
28
Nadarajah, Saralees
27
Phillips, Peter C. B.
27
Landsman, Zinoviy
25
Griffiths, William E.
23
Hoogerheide, Lennart F.
23
Linton, Oliver
23
Hoogerheide, Lennart
21
Kotz, Samuel
21
Perote, Javier
20
Diebold, Francis X.
19
Fischer, Matthias
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Swanson, Norman R.
19
Ardia, David
18
Bollerslev, Tim
18
Corradi, Valentina
18
Dijk, Dick van
18
Furman, Edward
18
Grassi, Stefano
18
Kim, Young Shin
18
Madan, Dilip B.
18
Segers, Johan
18
Bottazzi, Giulio
17
Harvey, Andrew C.
17
Wu, Ximing
17
van Dijk, H. K.
17
Koopman, Siem Jan
16
Sornette, Didier
16
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7
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6
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3
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3
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195
Journal of econometrics
169
Discussion paper / Tinbergen Institute
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Economics letters
94
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
82
International journal of forecasting
81
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76
European journal of operational research : EJOR
66
International journal of theoretical and applied finance
62
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56
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51
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50
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43
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42
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42
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42
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41
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41
Computational economics
40
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40
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40
Journal of empirical finance
39
Quantitative finance
38
International review of financial analysis
37
Statistical papers
37
Scandinavian actuarial journal
36
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
35
Journal of the American Statistical Association : JASA
34
Statistics in transition : an international journal of the Polish Statistical Association
34
Journal of applied econometrics
33
The European journal of finance
33
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
32
Journal of economic dynamics & control
31
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ECONIS (ZBW)
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USB Cologne (EcoSocSci)
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EconStor
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RePEc
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2151
A bootstrap approach for Generalized Autocontour testing Implications for VIX forecast densities
Mazzeu, João Henrique Gonçalves
;
González-Rivera, Gloria
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 971-990
Persistent link: https://www.econbiz.de/10012406197
Saved in:
2152
Data cloning estimation for asymmetric stochastic volatility models
Bermudez, P. de Zea
;
Marín, J. Miguel
;
Veiga, Helena
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 1057-1074
Persistent link: https://www.econbiz.de/10012406209
Saved in:
2153
Predicting loss given default in leasing : a closer look at models and variable selection
Kaposty, Florian
;
Kriebel, Johannes Maximilian
; …
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 248-266
Persistent link: https://www.econbiz.de/10012414715
Saved in:
2154
Forecast combinations for value at risk and expected shortfall
Taylor, James W.
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 428-441
Persistent link: https://www.econbiz.de/10012415069
Saved in:
2155
Comparing density forecasts in a risk management context
Diks, Cees G. H.
;
Fang, Hao
- In:
International journal of forecasting
36
(
2020
)
2
,
pp. 531-551
Persistent link: https://www.econbiz.de/10012415217
Saved in:
2156
A/B testing with fat tails
Azevedo, Eduardo M.
;
Deng, Alex
;
Olea, José Luis Montiel
; …
- In:
Journal of political economy
128
(
2020
)
12
,
pp. 4614-4672
Persistent link: https://www.econbiz.de/10012600135
Saved in:
2157
A-KA model : an optimization of the stock’s ortofolio
Regina, Filippo
;
Bisceglia, Mauro Gianfranco
- In:
Zagreb international review of economics & business
23
(
2020
)
2
,
pp. 21-40
Persistent link: https://www.econbiz.de/10012601221
Saved in:
2158
Assessing asset tail risk with artificial intelligence : the application of artificial neural network
Becker, Ying L.
;
Guo, Lin
;
Nurmamatov, Odilbek
- In:
Advances in Pacific Basin business, economics, and finance
8
(
2020
),
pp. 23-52
Persistent link: https://www.econbiz.de/10012601378
Saved in:
2159
Bilateral multiple gamma returns : their risks and rewards
Madan, Dilip B.
;
Schoutens, Wim
;
Wang, King
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012602702
Saved in:
2160
Capturing implied correlation skew from options prices via multiscale stochastic volatility models
Pellegrino, T.
- In:
International journal of financial engineering
7
(
2020
)
4
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012603755
Saved in:
2161
House price dispersion in boom-bust cycles : evidence from Tokyo
Ohnishi, Takaaki
;
Mizuno, Takayuki
;
Watanabe, Tsutomu
- In:
The Japanese economic review : the journal of the …
71
(
2020
)
4
,
pp. 511-539
Persistent link: https://www.econbiz.de/10012305026
Saved in:
2162
Prior-independent optimal auctions
Allouah, Amine
;
Besbes, Omar
- In:
Management science : journal of the Institute for …
66
(
2020
)
10
,
pp. 4417-4432
Persistent link: https://www.econbiz.de/10012305240
Saved in:
2163
Modelling income distribution using the log Student's t distribution : new evidence for European Union countries
Callealta Barroso, Francisco Javier
;
García-Pérez, Carmelo
- In:
Economic modelling
89
(
2020
),
pp. 512-522
Persistent link: https://www.econbiz.de/10012426214
Saved in:
2164
Rates of return of investments whose timings are specified by a probability distribution
Klebanov, Boris
- In:
The engineering economist : a journal devoted to the …
65
(
2020
)
4
,
pp. 363-380
Persistent link: https://www.econbiz.de/10012424377
Saved in:
2165
Comparing hedging effectiveness of portfolios in the greater Chinese stock exchanges : evidence from a modified value-at-risk model
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
- In:
Emerging markets, finance and trade : EMFT
56
(
2020
)
3
,
pp. 508-526
Persistent link: https://www.econbiz.de/10012211476
Saved in:
2166
Second-order Monte Carlo sensitivities
Daluiso, Roberto
- In:
The journal of computational finance
23
(
2020
)
4
,
pp. 61-91
Persistent link: https://www.econbiz.de/10012212482
Saved in:
2167
The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe
;
Ielpo, Florian
;
Sévi, Benoît
- In:
Journal of economic dynamics & control
113
(
2020
),
pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
Saved in:
2168
Black swan models for the entertainment industry with an application to the movie business
Walls, W. David
;
McKenzie, Jordi
- In:
Empirical economics : a journal of the Institute for …
59
(
2020
)
6
,
pp. 3019-3032
Persistent link: https://www.econbiz.de/10012504322
Saved in:
2169
New trade models, different distributions, same old results?
Ikizler, Burcin
;
Pehlivan, Ayse Ozgur
- In:
Economics letters
187
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012504437
Saved in:
2170
Spatially smoothed crop yield density estimation : physical distance versus climate similarity
Park, Eunchun
;
Brorsen, B. Wade
;
Harri, Ardian
- In:
Journal of agricultural and resource economics : JARE ; …
45
(
2020
)
3
,
pp. 533-548
Persistent link: https://www.econbiz.de/10012506869
Saved in:
2171
Robust Kernels for Kernel density estimation
Wang, Shaoping
;
Li, Ang
;
Wen, Kuangyu
;
Wu, Ximing
- In:
Economics letters
191
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012508547
Saved in:
2172
Nearly unbiased estimation of sample skewness
Li, Yifan
- In:
Economics letters
192
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012508586
Saved in:
2173
Testing firm-level data quality in China against Benford’s Law
Huang, Yasheng
;
Niu, Zhiyong
;
Yang, Clair Zhuqing
- In:
Economics letters
192
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012508717
Saved in:
2174
From Gibrat's law to Zipf's law through cointegration?
Aurélie, Lalanne
;
Martin, Zumpe
- In:
Economics letters
192
(
2020
),
pp. 1-3
Persistent link: https://www.econbiz.de/10012508834
Saved in:
2175
Fat tails in leading indicators
Kiss, Tamás
;
Österholm, Pär
- In:
Economics letters
193
(
2020
),
pp. 1-6
Persistent link: https://www.econbiz.de/10012509103
Saved in:
2176
Sunspot-driven fat tails : a note
Dave, Chetan
;
Sorge, Marco M.
- In:
Economics letters
193
(
2020
),
pp. 1-5
Persistent link: https://www.econbiz.de/10012509122
Saved in:
2177
On the consistency of the logistic quasi-MLE under conditional symmetry
Wooldridge, Jeffrey M.
- In:
Economics letters
194
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012509308
Saved in:
2178
On the identification of joint distributions using marginals and aggregates
Felt, Marie-Hélène
- In:
Economics letters
194
(
2020
),
pp. 1-3
Persistent link: https://www.econbiz.de/10012509409
Saved in:
2179
COVID-19 and market expectations : evidence from option-implied densities
Hanke, Michael
;
Kosolapova, Maria
;
Weissensteiner, Alex
- In:
Economics letters
195
(
2020
),
pp. 1-4
Persistent link: https://www.econbiz.de/10012509718
Saved in:
2180
On expected utility theorems on mixture sets
Galaabaatar, Tsogbadral
- In:
Economics letters
197
(
2020
),
pp. 1-3
Persistent link: https://www.econbiz.de/10012511074
Saved in:
2181
How sensitive is city size distribution to the definition of city? : the case of Spain
Puente-Ajovín, Miguel
;
Ramos, Arturo
;
Sanz, Fernando
; …
- In:
Economics letters
197
(
2020
),
pp. 1-3
Persistent link: https://www.econbiz.de/10012511175
Saved in:
2182
A closed-form approximation for pricing geometric Istanbul options
Kacef, Mohamed Amine
;
Boukhetala, Kamal
- In:
International journal of revenue management : IJRM
11
(
2020
)
4
,
pp. 297-315
Persistent link: https://www.econbiz.de/10012521669
Saved in:
2183
Measuring skewness premia
Langlois, Hugues
- In:
Journal of financial economics
135
(
2020
)
2
,
pp. 399-424
Persistent link: https://www.econbiz.de/10012543092
Saved in:
2184
On the statistical differences between binary forecasts and real-world payoffs
Taleb, Nassim Nicholas
- In:
International journal of forecasting
36
(
2020
)
4
,
pp. 1228-1240
Persistent link: https://www.econbiz.de/10012546083
Saved in:
2185
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:
2186
Does average skewness matter? : evidence from the Taiwanese stock market
Li, Mingyi
;
Onishchenko, Olena
;
Zhao, Jing
- In:
Pacific-Basin finance journal
62
(
2020
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012491937
Saved in:
2187
Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver
;
Klüppelberg, Claudia
;
Paterlini, Sandra
- In:
Journal of banking & finance
117
(
2020
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012495775
Saved in:
2188
Treatment of sample under-representation and skewed heavy-tailed distributions in survey-based microsimulation : an analysis of redistribution effects in compulsory health care ins...
Schoch, Tobias
;
Müller, André
- In:
Wirtschafts- und sozialstatistisches Archiv : ASTA ; …
14
(
2020
)
3/4
,
pp. 267-304
Persistent link: https://www.econbiz.de/10012606835
Saved in:
2189
Aggregational effects in extreme value and generalized hyperbolic models for value-at-risk estimation : evidence from the NYSE, FTSE, KRX and TWSE
Mashalaba, Q.
;
Huang, C.-K.
- In:
Tydskrif vir studies in ekonomie en ekonometrie : SEE
44
(
2020
)
1
,
pp. 45-72
Persistent link: https://www.econbiz.de/10012613489
Saved in:
2190
Long-memory version of stochastic volatility jump-diffusion model with stochastic intensity
Fallah, Somayeh
;
Mehrdoust, Farshid
- In:
Estudios de economía aplicada : revista promovida por …
38
(
2020
)
2
,
pp. 109-120
Persistent link: https://www.econbiz.de/10012616833
Saved in:
2191
A conditional heteroscedastic VaR approach with alternative distributions
Serrano Bautista, Ramona
;
Mata Mata, Leovardo
- In:
EconoQuantum : Revista de Economía y Negocios
17
(
2020
)
2
,
pp. 81-98
Persistent link: https://www.econbiz.de/10012617079
Saved in:
2192
Tournament rewards and heavy tails
Drugov, Mikhail
;
Ryvkin, Dmitry
- In:
Journal of economic theory
190
(
2020
),
pp. 1-36
Persistent link: https://www.econbiz.de/10012547196
Saved in:
2193
Oil stocks, risk factors, and tail behavior
Lian, Ziying
;
Cai, Jun
;
Webb, Robert I.
- In:
Energy economics
91
(
2020
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012518738
Saved in:
2194
An analytical portfolio credit risk model based on the extended binomial distribution
Fischer, Sven
- In:
Inventi impact: microfinance & banking
(
2020
)
1
,
pp. 1-7
Persistent link: https://www.econbiz.de/10012653603
Saved in:
2195
Information flow dependence in financial markets
Michaelsen, Markus
- In:
International journal of theoretical and applied finance
23
(
2020
)
5
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012496727
Saved in:
2196
Multivariate distributions for financial returns
Madan, Dilip B.
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496775
Saved in:
2197
Comparing the forecasting performances of linear models for electricity prices with high RES penetration
Gianfreda, Angelica
;
Ravazzolo, Francesco
;
Rossini, Luca
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 974-986
Persistent link: https://www.econbiz.de/10012497125
Saved in:
2198
Predicting LGD distributions with mixed continuous and discrete ordinal outcomes
Hwang, Ruey-Ching
;
Chu, Chih-Kang
;
Yu, Kaizhi
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1003-1022
Persistent link: https://www.econbiz.de/10012497162
Saved in:
2199
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
2200
Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo
;
Börner, Christoph J.
- In:
Journal of risk
23
(
2020/2021
)
2
,
pp. 43-69
Persistent link: https://www.econbiz.de/10012500249
Saved in:
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