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subject:"Risikomaß"
~isPartOf:"The journal of risk model validation"
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~subject:"ARCH model"
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Risikomaß
ARCH model
Portfolio selection
117
Portfolio-Management
117
Theorie
51
Theory
51
Risk measure
30
Forecasting model
23
Prognoseverfahren
23
Credit risk
21
Kreditrisiko
21
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machine learning
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Billio, Monica
4
Chlebus, Marcin
3
Barro, Diana
2
Canestrelli, Elio
2
Caporin, Massimiliano
2
Colucci, Stefano
2
Yang, Bill Huajian
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Ślepaczuk, Robert
2
Afonso, António
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Barziy, Illya
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Buczyńsk, Mateusz
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Casarin, Roberto
1
Cesarone, Francesco
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Chen, Fen-ying
1
Chen, Wei
1
Cipollini, Fabrizio
1
Cong, Chang
1
Cui, Kaijie
1
Du, Zunwei
1
Erdman, Donald
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Fei, Glenn
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Fischer, Matthias
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Frattarolo, Lorenzo
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Gallo, Giampiero M.
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Gobbo, Michele
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Gonpot, Preethee Nunkoo
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Kontaxis, Grigorios
1
Lanza, Fabio
1
Law, Keith K. F.
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Lee, Yong Woong
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Li, Wai Keung
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The journal of risk model validation
Working papers
Insurance / Mathematics & economics
106
Journal of banking & finance
82
European journal of operational research : EJOR
63
Journal of risk
57
Finance research letters
55
Risks : open access journal
48
Quantitative finance
42
International review of financial analysis
40
Economic modelling
37
The North American journal of economics and finance : a journal of financial economics studies
33
Journal of empirical finance
29
Journal of risk and financial management : JRFM
29
Applied economics
28
Research in international business and finance
26
The European journal of finance
25
The journal of asset management
25
Discussion paper / Tinbergen Institute
24
Energy economics
23
Computational economics
22
International journal of theoretical and applied finance
22
Journal of international financial markets, institutions & money
22
Journal of economic dynamics & control
21
Research paper series / Swiss Finance Institute
20
International review of economics & finance : IREF
19
International journal of forecasting
18
Finance and stochastics
17
Journal of econometrics
17
Operations research
17
Econometric Institute research papers
16
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Working paper
14
Journal of forecasting
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
12
Financial markets and portfolio management
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
11
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ECONIS (ZBW)
32
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1
Modeling and evaluating conditional quantile dynamics in VaR forecasts
Cipollini, Fabrizio
;
Gallo, Giampiero M.
;
Palandri, …
-
2023
-
Prima edizione
Persistent link: https://www.econbiz.de/10014321854
Saved in:
2
Ensembling ARIMAX model in algorithmic investment strategies on commodities market
Jakubowski, Paweł
;
Ślepaczuk, Robert
;
Windorbski, …
-
2023
Persistent link: https://www.econbiz.de/10014448210
Saved in:
3
The effectiveness of Value-at-Risk models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
4
Size does matter : a study on the required window size for optimal quality market risk models
Buczyńsk, Mateusz
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322119
Saved in:
5
HRP performance comparison in portfolio optimization under various codependence and distance metrics
Barziy, Illya
;
Chlebus, Marcin
-
2020
Persistent link: https://www.econbiz.de/10012322189
Saved in:
6
Value-at-risk: the comparison of state-of-the-art models on varous assets
Kielak, Karol
;
Ślepaczuk, Robert
-
2020
Persistent link: https://www.econbiz.de/10012322235
Saved in:
7
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.>
- In:
The journal of risk model validation
16
(
2022
)
3
,
pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
Saved in:
8
Nonconvex noncash risk measures
Cong, Chang
;
Zhao, Peibiao
- In:
The journal of risk model validation
15
(
2021
)
2
,
pp. 23-38
Persistent link: https://www.econbiz.de/10012817203
Saved in:
9
Evaluation of backtesting techniques on risk models with different horizons
Kontaxis, Grigorios
;
Tsolas, Ioannis E.
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 29-50
Persistent link: https://www.econbiz.de/10013173367
Saved in:
10
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
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