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Gupta, Rangan
138
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39
Bloom, Nicholas
34
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Bouri, Elie
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Demirer, Rıza
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Bali, Turan G.
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Hammoudeh, Shawkat
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Hartog, Joop
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Härdle, Wolfgang
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Marcellino, Massimiliano
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Righi, Marcelo Brutti
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Salisu, Afees A.
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Diaz-Serrano, Luis
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Giglio, Stefano
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Song, Jae
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22
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Pierdzioch, Christian
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21
Lustig, Hanno
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Pellegrino, Giovanni
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Carriero, Andrea
20
Daníelsson, Jón
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Ma, Feng
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19
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19
Christoffersen, Peter F.
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Oxford Research
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Insurance / Mathematics & economics
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Finance research letters
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NBER working paper series
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European journal of operational research : EJOR
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Risks : open access journal
143
Applied economics
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International review of economics & finance : IREF
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Energy economics
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Applied economics letters
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Journal of empirical finance
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Research in international business and finance
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Quantitative finance
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Discussion paper / Centre for Economic Policy Research
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Journal of risk and financial management : JRFM
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Discussion papers / CEPR
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Journal of economic dynamics & control
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International journal of theoretical and applied finance
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Journal of risk
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
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The European journal of finance
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Journal of international money and finance
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Scandinavian actuarial journal
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Discussion paper
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Finance and stochastics
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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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1
Efficient
estimation
of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
2
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
3
A new approach to identifying the real effects of uncertainty shocks
Shin, Minchul
;
Zhong, Molin
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
2
,
pp. 367-379
Persistent link: https://www.econbiz.de/10012262481
Saved in:
4
Measuring systemic risk with high-frequency data : a realized GARCH approach
Chen, Qihao
;
Huang, Zhuo
;
Liang, Fang
- In:
Finance research letters
54
(
2023
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014472723
Saved in:
5
Integrated portfolio risk measure :
estimation
and asymptotics of multivariate geometric quantiles
Sun, Edward W.
;
Wang, Yu-Jen
;
Yu, Min-Teh
- In:
Computational economics
52
(
2018
)
2
,
pp. 627-652
Persistent link: https://www.econbiz.de/10012053017
Saved in:
6
Market risk modeling with option-implied covariances and score-driven dynamics
Herrera, Rodrigo
;
Piña, Marco
- In:
The North American journal of economics and finance : a …
72
(
2024
),
pp. 1-27
Persistent link: https://www.econbiz.de/10014534822
Saved in:
7
Multivariate time-varying parameter modelling for stock markets
Neslihanoglu, Serdar
;
Bekiros, Stelios
;
McColl, John H.
; …
- In:
Empirical economics : a quarterly journal of the …
61
(
2021
)
2
,
pp. 947-972
Persistent link: https://www.econbiz.de/10012616913
Saved in:
8
An evaluation and comparison of Value at Risk and Expected Shortfall
Burdorf, Tom
;
Van Vuuren, Gary
- In:
Investment management and financial innovations
15
(
2018
)
4
,
pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
Saved in:
9
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia
- In:
Journal of contemporary management : JMC
4
(
2015
)
3
,
pp. 67-80
Persistent link: https://www.econbiz.de/10011392904
Saved in:
10
Does the tail risk index matter in forecasting downside risk?
Hung, Jui-Cheng
;
Liu, Hung-Chun
;
Yang, J. Jimmy
- In:
International journal of finance & economics : IJFE
28
(
2023
)
3
,
pp. 3451-3466
Persistent link: https://www.econbiz.de/10014327761
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