//--> //--> //-->
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"
~person:"Mao, Tiantian"
~person:"McMillan, David G."
~subject:"Statistical distribution"
~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
Risikomaß
18
Risk measure
18
Risiko
13
Risk
13
Portfolio selection
12
Portfolio-Management
12
Risikomanagement
11
Risk management
11
Theorie
10
Theory
10
Measurement
9
Messung
9
ARCH-Modell
6
Capital income
5
Kapitaleinkommen
5
Statistische Verteilung
5
Aktienmarkt
4
Ausreißer
4
Outliers
4
Stock market
4
Value-at-Risk
4
Estimation theory
3
Schätztheorie
3
Volatility
3
Volatilität
3
Coherent risk measure
2
Convex risk measure
2
Decision under risk
2
Entscheidung unter Risiko
2
Erwartungsnutzen
2
Estimation
2
Expected utility
2
Forecasting model
2
Prognoseverfahren
2
Regular variation
2
Reinsurance
2
Rückversicherung
2
Welt
2
more ...
less ...
Online availability
All
Undetermined
6
Type of publication
All
Article
Book / Working Paper
3
Type of publication (narrower categories)
All
Article in journal
10
Aufsatz in Zeitschrift
10
Language
All
English
10
Author
All
Mao, Tiantian
McMillan, David G.
Račev, Svetlozar T.
10
Fabozzi, Frank J.
9
Degiannakis, Stavros
8
Gerlach, Richard
8
Chen, Cathy W. S.
7
Chinhamu, Knowledge
7
Francq, Christian
7
Giot, Pierre
7
Hoga, Yannick
7
Landsman, Zinoviy
7
Liu, Hung-Chun
7
Nadarajah, Saralees
7
Paolella, Marc S.
7
Su, Jung-bin
7
Zakoïan, Jean-Michel
7
Ardia, David
6
Bali, Turan G.
6
Furman, Edward
6
Hammoudeh, Shawkat
6
Kang, Sang Hoon
6
Karmakar, Madhusudan
6
Kim, Young Shin
6
Petrella, Lea
6
Su, Jianxi
6
Taylor, James W.
6
Tiwari, Aviral Kumar
6
Weiß, Gregor
6
Zarangas, Leonidas P.
6
Bee, Marco
5
Dempsey, Michael
5
Guégan, Dominique
5
Huang, Chun-Kai
5
Härdle, Wolfgang
5
Lönnbark, Carl
5
McAleer, Michael
5
Mensi, Walid
5
Mozumder, Sharif
5
Peng, Liang
5
more ...
less ...
Published in...
All
Insurance / Mathematics & economics
4
Finance research letters
1
International review of finance
1
International review of financial analysis
1
Journal of multinational financial management
1
Research in international business and finance
1
Scandinavian actuarial journal
1
more ...
less ...
Source
All
ECONIS (ZBW)
10
Showing
1
-
10
of
10
Sort
relevance
articles prioritized
date (newest first)
date (oldest first)
1
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:
2
Do extreme range estimators improve realized volatility forecasts? : evidence from G7 Stock Markets
Korkusuz, Burak
;
Kambouroudis, Dimos
;
McMillan, David G.
- In:
Finance research letters
55
(
2023
)
2
,
pp. 1-7
Persistent link: https://www.econbiz.de/10014473523
Saved in:
3
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:
4
Multiscale stock-bond correlation : implications for risk management
Al Rababa'a, Abdel Razzaq
;
Alomari, Mohammad
;
McMillan, …
- In:
Research in international business and finance
58
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013286286
Saved in:
5
Estimation of the Haezendonck-Goovaerts risk measure for extreme risks
Zhao, Yanchun
;
Mao, Tiantian
;
Yang, Fan
- In:
Scandinavian actuarial journal
2021
(
2021
)
7
,
pp. 599-622
Persistent link: https://www.econbiz.de/10012624637
Saved in:
6
Tail subadditivity of distortion risk measures and multivariate tail distortion risk measures
Cai, Jun
;
Wang, Ying
;
Mao, Tiantian
- In:
Insurance / Mathematics & economics
75
(
2017
),
pp. 105-116
Persistent link: https://www.econbiz.de/10011740761
Saved in:
7
Extreme value behavior of aggregate dependent risks
Chen, Die
;
Mao, Tiantian
;
Pan, Xiaoqing
;
Hu, Taizhong
- In:
Insurance / Mathematics & economics
50
(
2012
)
1
,
pp. 99-108
Persistent link: https://www.econbiz.de/10009501695
Saved in:
8
Are RiskMetrics forecasts good enough? : evidence from 31 stock markets
McMillan, David G.
;
Kambouroudis, Dimos
- In:
International review of financial analysis
18
(
2009
)
3
,
pp. 117-124
Persistent link: https://www.econbiz.de/10003880020
Saved in:
9
How useful is intraday data for evaluating daily value-at-risk? : evidence from three Euro rates
McMillan, David G.
;
Speight, Alan E. H.
;
Evans, Kevin P.
- In:
Journal of multinational financial management
18
(
2008
)
5
,
pp. 488-503
Persistent link: https://www.econbiz.de/10003789977
Saved in:
10
Value-at-risk in emerging equity markets : comparative evidence for symmetric, asymmetric, and long-memory GARCH models
McMillan, David G.
;
Speight, Alan E. H.
- In:
International review of finance
7
(
2007
)
1/2
,
pp. 1-19
Persistent link: https://www.econbiz.de/10003626702
Saved in:
Results per page
10
25
50
100
250
A service of the
zbw
×
Loading...
//-->