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~accessRights:"restricted"
~person:"Al-Yahyaee, Khamis Hamed"
~person:"Fuertes, Ana María"
~person:"Lazar, Emese"
~subject:"Prognoseverfahren"
~subject:"Risikomanagement"
~type_genre:"Article in journal"
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Prognoseverfahren
Risikomanagement
Risikomaß
14
Risk measure
14
Risk management
8
Portfolio selection
7
Portfolio-Management
7
Volatility
7
Volatilität
7
Theorie
5
Theory
5
ARCH model
4
ARCH-Modell
4
Capital income
4
Kapitaleinkommen
4
Multivariate Verteilung
4
Multivariate distribution
4
Oil price
4
Ölpreis
4
Aktienmarkt
3
Copula
3
Forecasting model
3
Stock market
3
Time series analysis
3
Value-at-Risk
3
Zeitreihenanalyse
3
Börsenkurs
2
Commodity derivative
2
Cryptocurrencies
2
Downside risk
2
Estimation
2
Expected shortfall
2
Hedging
2
Measurement
2
Messung
2
Oil prices
2
Risiko
2
Risk
2
Rohstoffderivat
2
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Al-Yahyaee, Khamis Hamed
Fuertes, Ana María
Lazar, Emese
Wang, Ruodu
14
Gupta, Rangan
8
Righi, Marcelo Brutti
8
Cai, Jun
7
Gerlach, Richard
7
Mao, Tiantian
7
Mensi, Walid
7
Müller, Fernanda Maria
7
Embrechts, Paul
6
Guillén, Montserrat
6
Hammoudeh, Shawkat
6
Kumar, Dilip
6
Mora-Valencia, Andrés
6
Taylor, James W.
6
Boonen, Tim J.
5
Chaudhry, Sajid M.
5
Hoga, Yannick
5
Karmakar, Madhusudan
5
Li, Jianping
5
Mitic, Peter
5
Pierdzioch, Christian
5
Rüschendorf, Ludger
5
Tan, Ken Seng
5
Tiwari, Aviral Kumar
5
Bernard, Carole
4
Brandtner, Mario
4
Chen, Cathy W. S.
4
Dionne, Georges
4
Gillas, Konstantinos Gkillas
4
Herrera, Rodrigo
4
Härdle, Wolfgang
4
Kang, Sang Hoon
4
Kok Haur Ng
4
Liu, Fangda
4
Liu, Haiyan
4
Liu, Jia
4
Paul, Samit
4
Perote, Javier
4
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The North American journal of economics and finance : a journal of financial economics studies
3
Applied economics
1
Emerging markets review
1
European journal of operational research : EJOR
1
International journal of forecasting
1
Journal of banking & finance
1
Journal of commodity markets : JCM
1
Journal of financial econometrics : official journal of the Society for Financial Econometrics
1
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ECONIS (ZBW)
10
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1
On the estimation of Value-at-Risk and Expected Shortfall at extreme levels
Lazar, Emese
;
Pan, Jingqi
;
Wang, Shixuan
- In:
Journal of commodity markets : JCM
34
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014548240
Saved in:
2
Loss function-based change point detection in risk measures
Lazar, Emese
;
Wang, Shixuan
;
Xue, Xiaohan
- In:
European journal of operational research : EJOR
310
(
2023
)
1
,
pp. 415-431
Persistent link: https://www.econbiz.de/10014340186
Saved in:
3
Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid
;
Al-Yahyaee, Khamis Hamed
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
54
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012665455
Saved in:
4
Forecasting risk measures using intraday data in a generalized autoregressive score framework
Lazar, Emese
;
Xue, Xiaohan
- In:
International journal of forecasting
36
(
2020
)
3
,
pp. 1057-1072
Persistent link: https://www.econbiz.de/10012497719
Saved in:
5
Time frequency analysis of the commonalities between Bitcoin and major Cryptocurrencies : portfolio risk management implications
Mensi, Walid
;
Ur Rehman, Mobeen
;
Al-Yahyaee, Khamis Hamed
; …
- In:
The North American journal of economics and finance : a …
48
(
2019
),
pp. 283-294
Persistent link: https://www.econbiz.de/10012120250
Saved in:
6
Tail dependence risk exposure and diversification potential of Islamic and conventional banks
Hernandez, Jose Arreola
;
Al-Yahyaee, Khamis Hamed
; …
- In:
Applied economics
51
(
2019
)
44
,
pp. 4856-4869
Persistent link: https://www.econbiz.de/10012197121
Saved in:
7
Model risk of expected shortfall
Lazar, Emese
;
Zhang, Ning
- In:
Journal of banking & finance
105
(
2019
),
pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Saved in:
8
Volatility forecasting, downside risk, and diversification benefits of Bitcoin and oil and international commodity markets : a comparative analysis with yellow metal
Al-Yahyaee, Khamis Hamed
;
Mensi, Walid
;
Al-Jarrah, …
- In:
The North American journal of economics and finance : a …
49
(
2019
),
pp. 104-120
Persistent link: https://www.econbiz.de/10012269157
Saved in:
9
Extreme dependence and risk spillovers between oil and Islamic stock markets
Shahzad, Syed Jawad Hussain
;
Mensi, Walid
;
Hammoudeh, …
- In:
Emerging markets review
34
(
2018
),
pp. 42-63
Persistent link: https://www.econbiz.de/10012114666
Saved in:
10
Overnight news and daily equity trading risk limits
Ahoniemi, Katja
;
Fuertes, Ana María
;
Olmo, Jose
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
3
,
pp. 525-551
Persistent link: https://www.econbiz.de/10011623670
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