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subject:"Risikomaß"
subject:"USA"
~person:"Embrechts, Paul"
~person:"Guillén, Montserrat"
~person:"Kumar, Dilip"
~subject:"Theory"
~subject:"Volatilität"
~type_genre:"Article in journal"
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Risikomaß
USA
Theory
Volatilität
Risikomanagement
27
Risk management
27
Risk measure
20
Theorie
17
Risiko
13
Risk
13
Portfolio selection
12
Portfolio-Management
12
Volatility
7
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5
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5
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5
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5
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5
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5
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4
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4
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4
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robustness
4
Estimation theory
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Extreme value volatility estimator
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Multivariate Verteilung
3
Multivariate distribution
3
Prognoseverfahren
3
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expected shortfall
3
value-at-risk
3
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25
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English
25
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Embrechts, Paul
Guillén, Montserrat
Kumar, Dilip
Broll, Udo
16
Wang, Ruodu
16
Dionne, Georges
12
Fabozzi, Frank J.
12
Hammoudeh, Shawkat
12
McAleer, Michael
11
Tan, Ken Seng
11
Mao, Tiantian
10
Boonen, Tim J.
9
Cai, Jun
9
Gatzert, Nadine
9
Li, Jianping
9
Bartram, Söhnke M.
8
Goodwin, Barry K.
8
Janabi, Mazin A. M. al
8
Righi, Marcelo Brutti
8
Alexander, Gordon J.
7
Bernard, Carole
7
Cossette, Hélène
7
Puccetti, Giovanni
7
Rüschendorf, Ludger
7
Tang, Qihe
7
Yang, Fan
7
Zhu, Xiaoqian
7
Asimit, Alexandru V.
6
Balbás de la Corte, Alejandro
6
Baptista, Alexandre M.
6
Chen, Zhiping
6
Cheung, Ka Chun
6
Chi, Yichun
6
Dias, Alexandra
6
Furman, Edward
6
Godin, Frédéric
6
Hayes, Dermot James
6
Härdle, Wolfgang
6
Jacobs, Michael <Jr.>
6
Karmakar, Madhusudan
6
Li, Johnny Siu-Hang
6
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Finance and stochastics
3
Journal of risk
3
Insurance / Mathematics & economics
2
Journal of banking & finance
2
Operations research
2
Risks : open access journal
2
The journal of operational risk
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Global business review
1
Journal of quantitative economics
1
Studies in economics and finance
1
The European journal of finance
1
The Geneva risk and insurance review
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of prediction markets
1
The journal of risk and insurance : the journal of the American Risk and Insurance Association
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ECONIS (ZBW)
25
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1
Continuing risks
Constantinescu, Corina
;
Guillén, Montserrat
; …
- In:
Risks : open access journal
11
(
2023
)
1
,
pp. 1-2
Persistent link: https://www.econbiz.de/10014232583
Saved in:
2
An examination of the tail contribution to distortion risk measures
Santolino, Miguel
;
Belles-Sampera, James
;
Sarabia …
- In:
Journal of risk
23
(
2021
)
6
,
pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
Saved in:
3
Robustness in the optimization of risk measures
Embrechts, Paul
;
Schied, Alexander
;
Wang, Ruodu
- In:
Operations research
70
(
2022
)
1
,
pp. 95-110
Persistent link: https://www.econbiz.de/10012820643
Saved in:
4
Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility
Vidal-Llana, Xenxo
;
Guillén, Montserrat
- In:
The North American journal of economics and finance : a …
63
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10014225819
Saved in:
5
Estimating and predicting value-at-risk in the presence of structural breaks : A study based on unbiased extreme value volatility estimator
Kumar, Dilip
- In:
The journal of prediction markets
14
(
2020
)
1
,
pp. 27-48
Persistent link: https://www.econbiz.de/10012667394
Saved in:
6
Value-at-risk in the presence of structural breaks using unbiased extreme value volatility estimator
Kumar, Dilip
- In:
Journal of quantitative economics
18
(
2020
)
3
,
pp. 587-610
Persistent link: https://www.econbiz.de/10012418856
Saved in:
7
Compositional methods applied to capital allocation problems
Belles-Sampera, Jaume
;
Guillén, Montserrat
;
Santolino, …
- In:
Journal of risk
19
(
2016
)
2
,
pp. 15-30
Persistent link: https://www.econbiz.de/10013177074
Saved in:
8
Forecasting compositional risk allocations
Boonen, Tim J.
;
Guillén, Montserrat
;
Santolino, Miguel
- In:
Insurance / Mathematics & economics
84
(
2019
),
pp. 79-86
Persistent link: https://www.econbiz.de/10011990442
Saved in:
9
Distortion risk measures for nonnegative multivariate risks
Guillén, Montserrat
;
Sarabia Alzaga, José Maria
; …
- In:
The journal of operational risk
13
(
2018
)
2
,
pp. 35-57
Persistent link: https://www.econbiz.de/10011895037
Saved in:
10
Quantile-based risk sharing
Embrechts, Paul
;
Liu, Haiyan
;
Wang, Ruodu
- In:
Operations research
66
(
2018
)
4
,
pp. 936-949
Persistent link: https://www.econbiz.de/10011916624
Saved in:
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