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~source:"econis"
~subject:"Volatility"
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Bayesian Tail Risk Forecasting...
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Volatility
Risk management
94
Risikomanagement
88
Risikomaß
69
Risk measure
69
Volatilität
62
ARCH model
54
ARCH-Modell
54
Risk
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Risiko
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Ji, Qiang
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Hammoudeh, Shawkat
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Tiwari, Aviral Kumar
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Baum, Christopher F.
2
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1
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Energy economics
Finance research letters
52
The North American journal of economics and finance : a journal of financial economics studies
52
Journal of econometrics
44
Journal of banking & finance
39
Journal of risk and financial management : JRFM
38
Applied economics
37
International review of financial analysis
37
Economic modelling
32
International review of economics & finance : IREF
31
Journal of empirical finance
31
Journal of international financial markets, institutions & money
29
Discussion paper / Tinbergen Institute
24
Research in international business and finance
22
International journal of forecasting
21
Journal of financial econometrics
21
Risks : open access journal
20
Journal of risk
19
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19
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17
The European journal of finance
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Economics letters
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
Pacific-Basin finance journal
14
Quantitative finance
14
Applied economics letters
13
Econometrics : open access journal
13
Econometric Institute research papers
12
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
Journal of international money and finance
12
Working papers
12
Cogent economics & finance
11
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
11
Financial innovation : FIN
11
The journal of risk model validation
11
Computational economics
10
International journal of finance & economics : IJFE
10
Journal of mathematical finance
10
The empirical economics letters : a monthly international journal of economics
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1
Oil price risk evaluation using a novel hybrid model based on time-varying long memory
Zhao, Lu-Tao
;
Liu, Kun
;
Duan, Xin-Lei
;
Li, Ming-Fang
- In:
Energy economics
81
(
2019
),
pp. 70-78
Persistent link: https://www.econbiz.de/10012172659
Saved in:
2
Forecasting crude oil price volatility and value-at-risk : evidence from historical and recent data
Lux, Thomas
;
Segnon, Mawuli
;
Gupta, Rangan
- In:
Energy economics
56
(
2016
),
pp. 117-133
Persistent link: https://www.econbiz.de/10011663878
Saved in:
3
Value-at-Risk estimation of energy commodities : a long-memory
GARCH
-EVT approach
Youssef, Manel
;
Belkacem, Lotfi
;
Mokni, Khaled
- In:
Energy economics
51
(
2015
),
pp. 99-110
Persistent link: https://www.econbiz.de/10011564809
Saved in:
4
Uncertainties and extreme risk spillover in the energy markets : a time-varying copula-based CoVaR approach
Ji, Qiang
;
Liu, Bing-Yue
;
Nehler, Henrik
;
Uddin, …
- In:
Energy economics
76
(
2018
),
pp. 115-126
Persistent link: https://www.econbiz.de/10011976598
Saved in:
5
Crude oil risk forecasting : new evidence from multiscale analysis approach
He, Kaijian
;
Tso, Kwok Fai Geoffrey
;
Zou, Yingchao
;
Liu, Jia
- In:
Energy economics
76
(
2018
),
pp. 574-583
Persistent link: https://www.econbiz.de/10011976731
Saved in:
6
Extreme risk spillovers between crude oil and stock markets
Du, Limin
;
He, Yanan
- In:
Energy economics
51
(
2015
),
pp. 455-465
Persistent link: https://www.econbiz.de/10011564907
Saved in:
7
Dependence and extreme dependence of crude oil and natural gas prices with applications to risk management
Aloui, Riadh
;
Ben Aïssa, Mohamed Safouane
;
Hammoudeh, …
- In:
Energy economics
42
(
2014
),
pp. 332-342
Persistent link: https://www.econbiz.de/10010503584
Saved in:
8
Risk spillovers between oil and stock markets : a VAR for VaR analysis
Wen, Danyan
;
Wang, Gang-Jin
;
Ma, Chaoqun
;
Wang, Yudong
- In:
Energy economics
80
(
2019
),
pp. 524-535
Persistent link: https://www.econbiz.de/10012173682
Saved in:
9
Joint price and volumetric risk in wind power trading : a copula approach
Pircalabu, A.
;
Hvolby, T.
;
Jung, J.
;
Høg, E.
- In:
Energy economics
62
(
2017
),
pp. 139-154
Persistent link: https://www.econbiz.de/10011748068
Saved in:
10
Research on tail risk contagion in international energy markets : the quantile time-frequency volatility spillover perspective
Gong, Xiao-Li
;
Zhao, Min
;
Wu, Zhuo-Cheng
;
Jia, Kai-Wen
; …
- In:
Energy economics
121
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014438765
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