//--> //--> //--> //-->
Toggle navigation
Logout
Change account settings
EN
DE
ES
FR
A-Z
Beta
About EconBiz
News
Thesaurus (STW)
Research Skills
Help
EN
DE
ES
FR
My account
Logout
Change account settings
Login
Publications
Events
Your search terms
Search
Retain my current filters
subject:"ARCH model"
~isPartOf:"Journal of mathematical finance"
~subject:"Statistical distribution"
~subject:"Volatilität"
~type:"article"
Search options
All Fields
Title
Exact title
Subject
Author
Institution
ISBN/ISSN
Published in...
Publisher
Open Access only
Advanced
Search history
My EconBiz
Favorites
Loans
Reservations
Fines
You are here:
Home
Search: subject_exact:"Value at risk"
Narrow search
Delete all filters
| 5 applied filters
Year of publication
From:
To:
Subject
All
ARCH model
Statistical distribution
Volatilität
Risikomaß
26
Risk measure
26
Theorie
14
Theory
14
Risiko
12
Risk
12
Portfolio selection
10
Portfolio-Management
10
Risikomanagement
9
Risk management
9
ARCH-Modell
7
Volatility
7
Estimation
6
Schätzung
6
Ausreißer
5
Measurement
5
Messung
5
Outliers
5
Value-at-Risk
5
Aktienindex
4
Aktienmarkt
4
Capital income
4
Estimation theory
4
Kapitaleinkommen
4
Schätztheorie
4
Statistische Verteilung
4
Stochastic process
4
Stochastischer Prozess
4
Stock index
4
Stock market
4
VAR model
4
VAR-Modell
4
VaR
4
Value at Risk
4
Backtesting
3
Extreme Value Theory
3
Multivariate Verteilung
3
more ...
less ...
Online availability
All
Undetermined
10
Type of publication
All
Article
Type of publication (narrower categories)
All
Article in journal
13
Aufsatz in Zeitschrift
13
Language
All
English
13
Author
All
Omari, Cyprian Ondieki
3
Mwita, Peter N.
2
Assaf, Ata
1
Cheng, Hao
1
Gichuhi, Antony W.
1
Gumbo, Victor
1
Huang, Jhe-Jheng
1
Iizuka, Atsushi
1
Juan, He
1
Kosta, Olga
1
Lim, Kian-Guan
1
Mundia, Simon
1
Nakano, Yumiharu
1
Ngunyi, Anthony
1
Ramponi, Alessandro
1
Sapp, Travis R. A.
1
Siziba, Simiso
1
So, Leh-Chyan
1
Stepanova, Natalia
1
Waititu, Antony G.
1
Wang, Jian
1
Xianglin, Jiang
1
Yap, Nelson K. L.
1
Ze-To, Samuel Yau Man
1
more ...
less ...
Published in...
All
Journal of mathematical finance
Insurance / Mathematics & economics
82
Journal of banking & finance
57
Finance research letters
52
Energy economics
50
International journal of forecasting
44
Journal of risk
42
The North American journal of economics and finance : a journal of financial economics studies
42
Journal of empirical finance
36
Economic modelling
35
Applied economics
34
International review of financial analysis
33
The journal of risk model validation
33
Risks : open access journal
31
Journal of risk and financial management : JRFM
27
Journal of econometrics
24
International review of economics & finance : IREF
23
Journal of forecasting
21
Quantitative finance
20
The journal of operational risk
20
Computational economics
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
18
The European journal of finance
18
Journal of financial econometrics
15
Journal of international financial markets, institutions & money
15
Pacific-Basin finance journal
15
Research in international business and finance
15
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
15
European journal of operational research : EJOR
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
13
Scandinavian actuarial journal
13
Applied economics letters
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of economics and financial issues : IJEFI
9
International journal of theoretical and applied finance
9
Journal of risk management in financial institutions
9
International journal of finance & economics : IJFE
8
Journal of international money and finance
8
Review of quantitative finance and accounting
8
Risk management : a journal of risk, crisis and disaster
8
more ...
less ...
Source
All
ECONIS (ZBW)
13
Showing
1
-
10
of
13
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
Modelling volatility dynamics of cryptocurrencies using GARCH models
Ngunyi, Anthony
;
Mundia, Simon
;
Omari, Cyprian Ondieki
- In:
Journal of mathematical finance
9
(
2019
)
4
,
pp. 591-615
Persistent link: https://www.econbiz.de/10012433128
Saved in:
2
Currency portfolio risk measurement with generalized autoregressive conditional heteroscedastic-extreme value theory-Copula Model
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Gichuhi, Antony W.
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 457-477
Persistent link: https://www.econbiz.de/10011875347
Saved in:
3
The stochastic volatility model, regime switching and value-at-risk (VaR) in international equity markets
Assaf, Ata
- In:
Journal of mathematical finance
7
(
2017
)
2
,
pp. 491-512
Persistent link: https://www.econbiz.de/10011674013
Saved in:
4
Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Sapp, Travis R. A.
- In:
Journal of mathematical finance
6
(
2016
)
4
,
pp. 626-659
Persistent link: https://www.econbiz.de/10011656984
Saved in:
5
Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
Saved in:
6
New approach to density estimation and application to value-at-risk
Lim, Kian-Guan
;
Cheng, Hao
;
Yap, Nelson K. L.
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 423-432
Persistent link: https://www.econbiz.de/10011440077
Saved in:
7
Efficient density estimation and value at risk using Fejér-type kernel functions
Kosta, Olga
;
Stepanova, Natalia
- In:
Journal of mathematical finance
5
(
2015
)
5
,
pp. 480-504
Persistent link: https://www.econbiz.de/10011440699
Saved in:
8
On historical value at risk under distribution uncertainty
Iizuka, Atsushi
;
Nakano, Yumiharu
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 113-118
Persistent link: https://www.econbiz.de/10011398743
Saved in:
9
Using conditional extreme value theory to estimate value-at-risk for daily currency exchange rates
Omari, Cyprian Ondieki
;
Mwita, Peter N.
;
Waititu, Antony G.
- In:
Journal of mathematical finance
7
(
2017
)
4
,
pp. 846-870
Persistent link: https://www.econbiz.de/10011859906
Saved in:
10
An econometric approach to incorporating non-normality in VaR measurement
Gumbo, Victor
;
Siziba, Simiso
- In:
Journal of mathematical finance
6
(
2016
)
1
,
pp. 82-98
Persistent link: https://www.econbiz.de/10011543127
Saved in:
1
2
Next
Last
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->