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source:"econis"
~isPartOf:"Agricultural finance review"
~isPartOf:"Journal of risk"
~isPartOf:"Quantitative finance and economics"
~subject:"Multivariate Verteilung"
~type:"article"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Multivariate Verteilung
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141
Risk measure
141
Portfolio selection
64
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64
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47
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Theorie
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Berger, Theo
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Boeve, Rolf
1
Braun, Valentin
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D'Antoni, Jeremy M.
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1
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Agricultural finance review
Journal of risk
Quantitative finance and economics
Insurance / Mathematics & economics
22
Energy economics
15
The North American journal of economics and finance : a journal of financial economics studies
14
Applied economics
12
Journal of banking & finance
11
Risks : open access journal
11
Economic modelling
10
Journal of risk and financial management : JRFM
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International review of financial analysis
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Computational economics
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Finance research letters
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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European journal of operational research : EJOR
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Pacific-Basin finance journal
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The European journal of finance
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International Journal of Financial Studies : open access journal
4
International journal of forecasting
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International review of economics & finance : IREF
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Applied economics letters
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Financial innovation : FIN
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Journal of empirical finance
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Review of quantitative finance and accounting
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Astin bulletin : the journal of the International Actuarial Association
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Computers & operations research : and their applications to problems of world concern ; an international journal
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Finance and stochastics
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Interest rate models, asset allocation and quantitative techniques for central banks and sovereign wealth funds
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International economics : a journal published by CEPII (Center for research and expertise on the world economy)
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International journal of finance & economics : IJFE
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ECONIS (ZBW)
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1
An application of Regular Vine copula in portfolio risk forecasting : evidence from Istanbul stock exchange
Özgür, Cemile
;
Sarıkovanlık, Vedat
- In:
Quantitative finance and economics
5
(
2021
)
3
,
pp. 452-470
Persistent link: https://www.econbiz.de/10012592480
Saved in:
2
Portfolio optimization from a Copulas-GJR-GARCH-EVT-CVAR model : empirical evidence from ASEAN stock indexes
Sang Phu Nguyen
;
Toan Luu Duc Huynh
- In:
Quantitative finance and economics
3
(
2019
)
3
,
pp. 562-585
Persistent link: https://www.econbiz.de/10012176618
Saved in:
3
How often is the financial market going to collapse?
Frahm, Gabriel
- In:
Quantitative finance and economics
2
(
2018
)
3
,
pp. 590-614
Persistent link: https://www.econbiz.de/10012156795
Saved in:
4
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
5
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
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6
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob
;
Hesse, Frederik
;
Boeve, Rolf
;
Pfingsten, …
- In:
Journal of risk
18
(
2016
)
5
,
pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
Saved in:
7
Diversifying systemic risk in agriculture
Feng, Xiaoguang
;
Hayes, Dermot James
- In:
Agricultural finance review
76
(
2016
)
4
,
pp. 512-531
Persistent link: https://www.econbiz.de/10011699128
Saved in:
8
Geographical diversification in wheat farming : a copula-based CVaR framework
Larsen, Ryan
;
Leatham, David J.
;
Sukcharoen, Kunlapath
- In:
Agricultural finance review
75
(
2015
)
3
,
pp. 368-384
Persistent link: https://www.econbiz.de/10011341937
Saved in:
9
Are agribusiness stocks an investor safe haven?
D'Antoni, Jeremy M.
;
Detre, Joshua Dean
- In:
Agricultural finance review
74
(
2014
)
4
,
pp. 522-538
Persistent link: https://www.econbiz.de/10011305888
Saved in:
10
A one-factor copula-based model for credit portfolios
Kolman, Marek
- In:
Journal of risk
17
(
2014/15
)
2
,
pp. 93-132
Persistent link: https://www.econbiz.de/10010476247
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