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~accessRights:"restricted"
~isPartOf:"Journal of risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Multivariate Verteilung
Prognoseverfahren
Risikomaß
59
Risk measure
59
Portfolio selection
33
Portfolio-Management
33
Theorie
32
Theory
32
Risikomanagement
25
Risk management
25
Risiko
19
Risk
19
ARCH model
17
ARCH-Modell
17
Measurement
16
Messung
16
value-at-risk (VaR)
16
Estimation
13
Estimation theory
13
Schätztheorie
13
Schätzung
13
Forecasting model
10
Volatility
10
Volatilität
10
Statistical distribution
9
Statistische Verteilung
9
risk management
9
Basel Accord
8
Basler Akkord
8
Bank risk
7
Bankrisiko
7
Credit risk
7
Financial services
7
Finanzdienstleistung
7
Kreditrisiko
7
expected shortfall (ES)
7
Capital income
6
Kapitaleinkommen
6
Original research
6
Ausreißer
5
Outliers
5
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Article
12
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12
Aufsatz in Zeitschrift
12
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English
12
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Ziggel, Daniel
2
Amendola, Alessandra
1
Arora, Rohit
1
Berens, Tobias
1
Braun, Valentin
1
Candila, Vincenzo
1
Dionne, Georges
1
Gaigall, Daniel
1
Hackethal, Andreas
1
Hassani, Samir Saissi
1
Jiang, Cuixia
1
Li, Handong
1
Li, Phillip
1
Li, Yuqian
1
Liu, Xiaohang
1
Löser, Robert
1
Martin, R. Douglas
1
Moldenhauer, Felix
1
Pitera, Marcin
1
Riccetti, Luca
1
Weiß, Gregory N. F.
1
Wied, Dominik
1
Wu, Jun
1
Xu, Qifa
1
Zhang, Xiaofei
1
Zhao, Xinlei
1
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Published in...
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Journal of risk
International journal of forecasting
36
Finance research letters
33
Energy economics
22
The North American journal of economics and finance : a journal of financial economics studies
21
Applied economics
17
International review of financial analysis
15
Computational economics
14
Insurance / Mathematics & economics
14
Journal of forecasting
13
Economic modelling
12
Journal of empirical finance
12
Quantitative finance
12
European journal of operational research : EJOR
11
Journal of financial econometrics
11
Journal of banking & finance
10
The journal of risk model validation
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Pacific-Basin finance journal
9
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
8
The European journal of finance
8
International review of economics & finance : IREF
7
Applied economics letters
6
Discussion papers / CEPR
5
Journal of econometrics
5
Journal of economic dynamics & control
5
Risk management : a journal of risk, crisis and disaster
5
International journal of finance & economics : IJFE
4
Journal of applied econometrics
4
Journal of commodity markets
4
Journal of international financial markets, institutions & money
4
Journal of mathematical finance
4
Research in international business and finance
4
Theoretical economics letters
4
Economics letters
3
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
3
Journal of risk : JOR
3
Research paper series / Swiss Finance Institute
3
Review of financial economics : RFE
3
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ECONIS (ZBW)
12
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1
Using a skewed exponential power mixture for value-at-risk and conditional value-at-risk forecasts to comply with market risk regulation
Hassani, Samir Saissi
;
Dionne, Georges
- In:
Journal of risk
25
(
2023
)
6
,
pp. 73-103
Persistent link: https://www.econbiz.de/10014546368
Saved in:
2
Allocating and forecasting changes in risk
Gaigall, Daniel
- In:
Journal of risk
25
(
2023
)
3
,
pp. 1-24
Persistent link: https://www.econbiz.de/10014283880
Saved in:
3
Reinvestigating international crude oil market risk spillovers
Jiang, Cuixia
;
Li, Yuqian
;
Xu, Qifa
;
Wu, Jun
- In:
Journal of risk
24
(
2021
)
1
,
pp. 25-52
Persistent link: https://www.econbiz.de/10012816795
Saved in:
4
Systemic risk of the Chinese stock market based on the mobility measures of the marginal expected shortfall
Liu, Xiaohang
;
Li, Handong
- In:
Journal of risk
24
(
2021
)
1
,
pp. 53-77
Persistent link: https://www.econbiz.de/10012816812
Saved in:
5
Modeling loss given default regressions
Li, Phillip
;
Zhang, Xiaofei
;
Zhao, Xinlei
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
Saved in:
6
Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix
;
Pitera, Marcin
- In:
Journal of risk
22
(
2019
)
1
,
pp. 17-42
Persistent link: https://www.econbiz.de/10013177098
Saved in:
7
New backtests for unconditional coverage of expected shortfall
Löser, Robert
;
Wied, Dominik
;
Ziggel, Daniel
- In:
Journal of risk
21
(
2018/2019
)
4
,
pp. 39-59
Persistent link: https://www.econbiz.de/10012059868
Saved in:
8
Estimation window strategies for value-at-risk and expected shortfall forecasting
Berens, Tobias
;
Weiß, Gregory N. F.
;
Ziggel, Daniel
- In:
Journal of risk
20
(
2017/2018
)
5
,
pp. 33-82
Persistent link: https://www.econbiz.de/10011914663
Saved in:
9
How risk managers should fix tracking error volatility and value-at-risk constraints in asset management
Riccetti, Luca
- In:
Journal of risk
19
(
2016/2017
)
4
,
pp. 79-102
Persistent link: https://www.econbiz.de/10011710254
Saved in:
10
Comparing multivariate volatility forecasts by direct and indirect approaches
Amendola, Alessandra
;
Candila, Vincenzo
- In:
Journal of risk
19
(
2017
)
6
,
pp. 33-57
Persistent link: https://www.econbiz.de/10011799128
Saved in:
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