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subject:"ARCH model"
~isPartOf:"Insurance / Mathematics & economics"
~subject:"Multivariate distribution"
~subject:"Statistical distribution"
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Search: subject_exact:"Value at risk"
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ARCH model
Multivariate distribution
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Risikomaß
217
Risk measure
217
Theorie
173
Theory
173
Risk
122
Risiko
121
Portfolio selection
105
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105
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104
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93
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Mao, Tiantian
5
Eling, Martin
4
Furman, Edward
4
Landsman, Zinoviy
4
Su, Jianxi
4
Guillou, Armelle
3
Hua, Lei
3
Ignatieva, Ekaterina
3
Ling, Chengxiu
3
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3
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2
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2
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2
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2
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Marceau, Etienne
2
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2
Qin, Jing
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Shushi, Tomer
2
Sordo, Miguel A.
2
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2
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2
Yuan, Zhongyi
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1
Abu Bakar, S. A.
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Insurance / Mathematics & economics
Journal of banking & finance
54
Energy economics
43
Finance research letters
43
International journal of forecasting
41
Journal of risk
39
Economic modelling
38
The North American journal of economics and finance : a journal of financial economics studies
38
Applied economics
35
Journal of empirical finance
34
Risks : open access journal
33
Journal of risk and financial management : JRFM
31
International review of financial analysis
29
The journal of risk model validation
29
Journal of econometrics
23
Quantitative finance
22
Journal of forecasting
21
The journal of operational risk
21
Computational economics
20
International review of economics & finance : IREF
19
European journal of operational research : EJOR
16
Journal of financial econometrics
16
Journal of financial econometrics : official journal of the Society for Financial Econometrics
16
Research in international business and finance
16
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
16
Pacific-Basin finance journal
15
The European journal of finance
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Scandinavian actuarial journal
14
Journal of international financial markets, institutions & money
13
Applied economics letters
12
Journal of mathematical finance
11
Risk management : a journal of risk, crisis and disaster
10
Astin bulletin : the journal of the International Actuarial Association
9
Journal of risk management in financial institutions
9
International journal of economics and financial issues : IJEFI
8
International journal of finance & economics : IJFE
8
Journal of international money and finance
8
Review of quantitative finance and accounting
8
International journal of theoretical and applied finance
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ECONIS (ZBW)
88
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1
Assessing the difference between integrated quantiles and integrated cumulative distribution functions
Wei, Yunran
;
Zitikis, Ric̆ardas
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 163-172
Persistent link: https://www.econbiz.de/10014317143
Saved in:
2
Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás
;
Nedényi, Fanni K.
;
Sütő, László
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
Saved in:
3
Nonparametric density estimation and risk quantification from tabulated sample moments
Lambert, Philippe
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 177-189
Persistent link: https://www.econbiz.de/10013534519
Saved in:
4
Distributionally robust reinsurance with value-at-risk and conditional value-at-risk
Liu, Haiyan
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
107
(
2022
),
pp. 393-417
Persistent link: https://www.econbiz.de/10013471260
Saved in:
5
Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
Mao, Tiantian
;
Stupfler, Gilles
;
Yang, Fan
- In:
Insurance / Mathematics & economics
111
(
2023
),
pp. 173-192
Persistent link: https://www.econbiz.de/10014317144
Saved in:
6
Empirical tail risk management with model-based annealing random search
Fan, Qi
;
Tan, Ken Seng
;
Zhang, Jinggong
- In:
Insurance / Mathematics & economics
110
(
2023
),
pp. 106-124
Persistent link: https://www.econbiz.de/10014282478
Saved in:
7
Two-stage nested simulation of tail risk measurement : a likelihood ratio approach
Dang, Ou
;
Feng, Mingbin
;
Hardy, Mary Rosalyn
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10013534507
Saved in:
8
Risk aggregation and capital allocation using a new generalized Archimedean copula
Marri, Fouad
;
Moutanabbir, Khouzeima
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 75-90
Persistent link: https://www.econbiz.de/10013271960
Saved in:
9
Systemic risk : conditional distortion risk measures
Dhaene, Jan
;
Laeven, Roger J. A.
;
Zhang, Yiying
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 126-145
Persistent link: https://www.econbiz.de/10013271967
Saved in:
10
Asymptotic results on marginal expected shortfalls for dependent risks
Li, Jinzhu
- In:
Insurance / Mathematics & economics
102
(
2022
),
pp. 146-168
Persistent link: https://www.econbiz.de/10013271968
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