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VAR model
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Lütkepohl, Helmut
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97
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96
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84
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81
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80
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71
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69
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69
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65
Clark, Todd E.
65
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62
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59
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58
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53
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49
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47
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46
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45
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Kapetanios, George
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Saikkonen, Pentti
45
Benati, Luca
44
Nielsen, Morten Ørregaard
44
Baumeister, Christiane
42
Belke, Ansgar
41
Smith, L. Vanessa
40
Chan, Joshua
39
Minford, Patrick
38
Feldkircher, Martin
37
Forni, Mario
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Lenza, Michele
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Peersman, Gert
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Sala, Luca
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Bjørnland, Hilde Christiane
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Federal Reserve Bank of St. Louis
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Leibniz-Institut für Wirtschaftsforschung Halle
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Federal Reserve Bank of San Francisco
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Innocenzo Gasparini Institute for Economic Research <Mailand>
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Narodna Banka na Republika Makedonija
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Task Force on Low Inflation (LIFT)
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University of Leicester / Department of Economics
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Center for Economic Research <Tilburg>
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Ekonomski Fakultet, Sveučilište u Zagrebu
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Escola de Pós-Graduação em Economia <Rio de Janeiro>
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International Monetary Fund
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National Institute of Economic and Social Research
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Nuffield College
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Sonderforschungsbereich Statistical Modelling of Nonlinear Dynamic Processes
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University of California Davis / Department of Economics
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Centre for Analytical Finance <Århus>
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Centre for Dynamic Macroeconomic Analysis, University of St. Andrews
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Institut national de la statistique et des études économiques <Frankreich> / Direction des études et synthèses économiques
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Instituto Valenciano de Investigaciones Económicas
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Energy economics
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Economics letters
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CESifo working papers
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Journal of international money and finance
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Journal of econometrics
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IMF working papers
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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CAMA working paper series
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Journal of economic dynamics & control
106
International journal of forecasting
92
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Journal of macroeconomics
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Applied economics letters
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NBER working paper series
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ECB Working Paper
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Macroeconomic dynamics
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International Journal of Energy Economics and Policy : IJEEP
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Journal of applied econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Discussion paper
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International review of economics & finance : IREF
72
Discussion papers / Deutsches Institut für Wirtschaftsforschung
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NBER Working Paper
69
Journal of monetary economics
68
Finance research letters
64
The North American journal of economics and finance : a journal of financial economics studies
60
Working paper series
53
Journal of forecasting
52
IMF Working Paper
48
European economic review : EER
47
Journal of banking & finance
47
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
47
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Journal of money, credit and banking : JMCB
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ECONIS (ZBW)
13,563
RePEc
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EconStor
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ArchiDok
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Other ZBW resources
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1
Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli
;
Trede, Mark
- In:
The European journal of finance
24
(
2018
)
14
,
pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
Saved in:
2
Bayesian return forecasts using realised range and asymmetric CARR model with various distribution assumptions
Chan, Jennifer So-Kuen
;
Kok Haur Ng
;
Ragell, Rachel
- In:
International review of economics & finance : IREF
61
(
2019
),
pp. 188-212
Persistent link: https://www.econbiz.de/10012205409
Saved in:
3
Forecasting VaR using realized EGARCH model with skewness and kurtosis
Wu, Xinyu
;
Xia, Michelle
;
Zhang, Huanming
- In:
Finance research letters
32
(
2020
),
pp. 1-7
Persistent link: https://www.econbiz.de/10012430736
Saved in:
4
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
5
Forecasting liquidity-adjusted VaR : a conditional EVT-copula approach
Karmakar, Madhusudan
;
Khadotra, Ravi
- In:
Review of financial economics : RFE
41
(
2023
)
3
,
pp. 283-321
Persistent link: https://www.econbiz.de/10014336153
Saved in:
6
A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia
;
Li, Handong
- In:
Journal of forecasting
42
(
2023
)
5
,
pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
Saved in:
7
Marginal or copula : which one is critical?
Choi, Pilsun
;
Min, Insik
- In:
Applied economics letters
20
(
2013
)
16/18
,
pp. 1462-1465
Persistent link: https://www.econbiz.de/10010213173
Saved in:
8
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:
9
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
Saved in:
10
Econometric analysis of financial count data and portfolio choice : a dynamic approach
Rengifo, Erick W.
-
2005
Persistent link: https://www.econbiz.de/10003987160
Saved in:
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