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isPartOf:"Review of Pacific Basin financial markets and policies"
subject:"Derivative"
~isPartOf:"Journal of econometrics"
~isPartOf:"Working papers"
~subject:"Risikomaß"
~subject:"Volatility"
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Search: subject_exact:"Risk management"
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Derivative
Risikomaß
Volatility
Risk management
72
Risikomanagement
71
Risk measure
28
Theorie
25
Theory
25
Portfolio selection
23
Portfolio-Management
23
Risiko
20
Risk
20
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12
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12
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11
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risk management
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Billio, Monica
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Pelizzon, Loriana
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Caporin, Massimiliano
2
Chlebus, Marcin
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Hong, Yongmiao
2
Tavakoli Baghdadabad, Mohammad Reza
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1
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Bandi, Federico M.
1
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1
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1
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1
Boulter, Terry
1
Bui Dan Thanh
1
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1
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1
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1
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1
Flanagan, Liam
1
Friedl, Bettina
1
Gallo, Giampiero M.
1
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Review of Pacific Basin financial markets and policies
Journal of econometrics
Working papers
Insurance / Mathematics & economics
101
Journal of banking & finance
67
Risks : open access journal
66
Energy economics
49
European journal of operational research : EJOR
48
Journal of risk
45
Finance research letters
44
International review of financial analysis
33
Journal of risk management in financial institutions
30
The North American journal of economics and finance : a journal of financial economics studies
30
Economic modelling
29
The journal of operational risk
27
Quantitative finance
26
International review of economics & finance : IREF
24
The journal of risk model validation
24
Applied economics
23
International journal of theoretical and applied finance
21
Journal of risk and financial management : JRFM
21
SpringerLink / Bücher
21
The European journal of finance
20
Discussion paper / Tinbergen Institute
18
Research in international business and finance
15
Journal of empirical finance
14
Agricultural finance review
13
Finance and stochastics
13
International journal of forecasting
13
International journal of risk assessment and management : IJRAM
13
Journal of financial stability
13
Journal of international financial markets, institutions & money
13
Research paper series / Swiss Finance Institute
13
The journal of credit risk : published quarterly by Incisive Media
13
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
13
Journal of financial econometrics
12
Management science : journal of the Institute for Operations Research and the Management Sciences
12
Pacific-Basin finance journal
12
Review of financial economics : RFE
12
Schriftenreihe Finanzmanagement
12
The journal of futures markets
12
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ECONIS (ZBW)
38
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1
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
2
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
3
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
4
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322235
Saved in:
5
Précisions importantes sur le backtesting comparatif de la VaR
Hassani, Samir Saissi
-
2022
Persistent link: https://www.econbiz.de/10012886096
Saved in:
6
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
7
Systemic risk: a network approach
Hasse, Jean-Baptiste
-
2020
Persistent link: https://www.econbiz.de/10012387222
Saved in:
8
Networks in risk spillovers : a multivariate GARCH perspective
Billio, Monica
;
Caporin, Massimiliano
;
Frattarolo, Lorenzo
-
2020
Persistent link: https://www.econbiz.de/10012244841
Saved in:
9
Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures
Benavides, Guillermo
-
2020
In this research paper ARCH-type models and option implied volatilities (IV) are applied in order to estimate the Value-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated volatility estimation is considered. The empirical...
Persistent link: https://www.econbiz.de/10012292347
Saved in:
10
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
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