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source:"econis"
~subject:"Multivariate Verteilung"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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Multivariate Verteilung
Risikomaß
7,432
Risk measure
7,432
Theorie
3,520
Theory
3,520
Portfolio selection
2,678
Portfolio-Management
2,678
Risikomanagement
2,197
Risk management
2,170
Risk
2,056
Risiko
2,054
Messung
1,158
Measurement
1,144
Statistical distribution
1,112
Statistische Verteilung
1,112
Estimation
1,078
Schätzung
1,077
ARCH model
1,016
ARCH-Modell
1,016
Volatilität
938
Volatility
936
Forecasting model
897
Prognoseverfahren
897
Capital income
756
Kapitaleinkommen
756
Kreditrisiko
597
Credit risk
593
Bank risk
544
Bankrisiko
544
Outliers
494
Ausreißer
492
Basel Accord
491
Basler Akkord
491
Estimation theory
479
Schätztheorie
479
Financial crisis
461
Finanzkrise
461
Multivariate distribution
457
Welt
412
World
412
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222
Free
134
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Article
349
Book / Working Paper
108
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Article in journal
331
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331
Graue Literatur
53
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53
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48
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48
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16
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16
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15
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10
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3
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3
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1
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1
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1
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1
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1
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1
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1
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English
450
German
7
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Härdle, Wolfgang
8
Okhrin, Ostap
8
Tiwari, Aviral Kumar
8
Hammoudeh, Shawkat
7
Ji, Qiang
7
Shahzad, Syed Jawad Hussain
7
Tian, Maoxi
7
Giacomini, Enzo
6
Valdesogo, Alfonso
6
Weiß, Gregor
6
Berger, Theo
5
Bormann, Carsten
5
Ghorbel, Ahmed
5
Heinen, Andréas
5
Karmakar, Madhusudan
5
Mensi, Walid
5
Reboredo, Juan Carlos
5
Schienle, Melanie
5
Braun, Valentin
4
Fantazzini, Dean
4
Huggenberger, Markus
4
Lee, Seung-Hwan
4
Liu, Bing-Yue
4
Manner, Hans
4
Muteba Mwamba, John
4
Righi, Marcelo Brutti
4
Sahamkhadam, Maziar
4
Shim, Jeungbo
4
Trück, Stefan
4
Weigert, Florian
4
Al-Yahyaee, Khamis Hamed
3
Allen, David E.
3
Alshater, Muneer Maher
3
Belkacem, Lotfi
3
Bouri, Elie
3
Chabi-Yo, Fousseni
3
Chollete, Lorán
3
Czado, Claudia
3
De Luca, Giovanni
3
Embrechts, Paul
3
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Bergische Universität Wuppertal
1
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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
10
SFB 649 discussion paper
10
International review of financial analysis
9
Journal of risk
7
Computational economics
6
Finance research letters
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
European journal of operational research : EJOR
5
Pacific-Basin finance journal
5
The European journal of finance
5
International Journal of Financial Studies : open access journal
4
International journal of forecasting
4
International review of economics & finance : IREF
4
Journal of international financial markets, institutions & money
4
Quantitative finance
4
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
4
Agricultural finance review
3
Applied economics letters
3
Economics letters
3
Financial innovation : FIN
3
Journal of empirical finance
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
3
Journal of forecasting
3
Journal of mathematical finance
3
Quantitative finance and economics
3
Reihe Quantitative Ökonomie : Ökon
3
Review of quantitative finance and accounting
3
Risk management : a journal of risk, crisis and disaster
3
Astin bulletin : the journal of the International Actuarial Association
2
CORE discussion paper : DP
2
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
2
Computers & operations research : and their applications to problems of world concern ; an international journal
2
Discussion paper
2
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ECONIS (ZBW)
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61
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
62
Asymptotic subadditivity/superadditivity of Value-at-Risk under tail dependence
Zhu, Wenhao
;
Li, Lujun
;
Yang, Jingping
;
Xie, Jiehua
; …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
4
,
pp. 1314-1369
Persistent link: https://www.econbiz.de/10014370668
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63
GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets
Yao, Can-Zhong
;
Li, Min-Jian
- In:
The North American journal of economics and finance : a …
66
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014483642
Saved in:
64
Time-varying dependence and currency tail risk during the Covid-19 pandemic
Gobbi, Fabio
;
Mulinacci, Sabrina
- In:
Studies in economics and finance
40
(
2023
)
5
,
pp. 839-858
Persistent link: https://www.econbiz.de/10014467159
Saved in:
65
Portfolio optimization through hybrid deep learning and genetic algorithms vine Copula-GARCH-EVT-CVaR model
Bedoui, Rihab
;
Benkraiem, Ramzi
;
Guesmi, Khaled
; …
- In:
Technological forecasting & social change : an …
197
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014468847
Saved in:
66
Volatility spillover effect between Pakistan and Shanghai Stock Exchanges using copula and dynamic conditional correlation model
Afzal, Fahim
;
Choudhury, Tonmoy
;
Kamran, Muhammad
- In:
International journal of Islamic and Middle Eastern …
16
(
2023
)
1
,
pp. 59-80
Persistent link: https://www.econbiz.de/10014339621
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67
Measuring dependence in a set of asset returns
Madan, Dilip B.
;
Wang, King
- In:
Asia Pacific financial markets
30
(
2023
)
2
,
pp. 363-385
Persistent link: https://www.econbiz.de/10014342359
Saved in:
68
Tail risk inference via expectiles in heavy-tailed time series
Davison, Anthony C.
;
Padoan, Simone A.
;
Stupfler, Gilles
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 876-889
Persistent link: https://www.econbiz.de/10014448453
Saved in:
69
Downside risk and portfolio optimization of energy stocks : a study on the extreme value theory and the vine copula approach
Karmakar, Madhusudan
;
Paul, Samit
- In:
The energy journal
44
(
2023
)
2
,
pp. 139-179
Persistent link: https://www.econbiz.de/10014249083
Saved in:
70
The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies
Tian, Maoxi
;
El Khoury, Rim
;
Alshater, Muneer Maher
- In:
Journal of international financial markets, …
82
(
2023
),
pp. 1-28
Persistent link: https://www.econbiz.de/10014246021
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