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~isPartOf:"Applied economics"
~isPartOf:"Computational economics"
~isPartOf:"European journal of operational research : EJOR"
~subject:"Credit risk"
~subject:"Multivariate Verteilung"
~subject:"Prognoseverfahren"
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Credit risk
Multivariate Verteilung
Prognoseverfahren
Risk measure
205
Risikomaß
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Theorie
131
Theory
131
Portfolio selection
99
Portfolio-Management
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79
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Blazsek, Szabolcs
3
Afuecheta, Emmanuel
2
Allen, David E.
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Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
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Monteros, Luis Antonio
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1
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Applied economics
Computational economics
European journal of operational research : EJOR
International journal of forecasting
53
Journal of banking & finance
46
Finance research letters
39
Risks : open access journal
33
Journal of forecasting
32
Insurance / Mathematics & economics
31
Journal of risk
27
The North American journal of economics and finance : a journal of financial economics studies
26
The journal of risk model validation
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Discussion paper / Tinbergen Institute
24
Energy economics
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International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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The journal of credit risk : published quarterly by Incisive Media
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Journal of risk and financial management : JRFM
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Journal of risk management in financial institutions
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The European journal of finance
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SFB 649 discussion paper
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Econometric Institute research papers
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International review of economics & finance : IREF
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Journal of international financial markets, institutions & money
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Applied economics letters
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School of Accounting, Finance and Economics & FEMARC working paper series
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Journal of financial services research : JFSR
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Deutsche Bundesbank
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International journal of theoretical and applied finance
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1
Comparison of Value at Risk (VaR) multivariate forecast models
Müller, Fernanda Maria
;
Righi, Marcelo Brutti
- In:
Computational economics
63
(
2024
)
1
,
pp. 75-110
Persistent link: https://www.econbiz.de/10014471980
Saved in:
2
Forecasting Value at Risk and expected shortfall of foreign exchange rate volatility of major African currencies via GARCH and dynamic conditional correlation analysis
Afuecheta, Emmanuel
;
Okorie, Idika E.
;
Nadarajah, Saralees
- In:
Computational economics
63
(
2024
)
1
,
pp. 271-304
Persistent link: https://www.econbiz.de/10014472109
Saved in:
3
Kernel quantile estimators for nested simulation with application to portfolio value-at-risk measurement
Liu, Xiaoyu
;
Yan, Xing
;
Zhang, Kun
- In:
European journal of operational research : EJOR
312
(
2024
)
3
,
pp. 1168-1177
Persistent link: https://www.econbiz.de/10014456483
Saved in:
4
Scenario generation for financial data with a machine learning approach based on realized volatility and copulas
Mesquita, Caio Mário
;
Valle, Cristiano Arbex
;
Pereira, …
- In:
Computational economics
63
(
2024
)
5
,
pp. 1879-1919
Persistent link: https://www.econbiz.de/10014550838
Saved in:
5
GARCHNet: Value‑at‑risk forecasting with GARCH models based on neural networks
Buczynski, Mateusz
;
Chlebus, Marcin
- In:
Computational economics
63
(
2024
)
5
,
pp. 1949-1979
Persistent link: https://www.econbiz.de/10014550845
Saved in:
6
Modelling credit card exposure at default using vine copula quantile regression
Wattanawongwan, Suttisak
;
Mues, Christophe
;
Okhrati, Ramin
- In:
European journal of operational research : EJOR
311
(
2023
)
1
,
pp. 387-399
Persistent link: https://www.econbiz.de/10014336533
Saved in:
7
Robust portfolio optimization based on semi-parametric ARMA-TGARCH-EVT model with mixed copula using WCVaR
Deng, Xue
;
Liang, Ying
- In:
Computational economics
61
(
2023
)
1
,
pp. 267-294
Persistent link: https://www.econbiz.de/10014228426
Saved in:
8
The use of the tail dependence function for high quantile risk measure analysis : an application to portfolio optimization
Salazar Flores, Yuri
;
Díaz Hernández, Adán
; …
- In:
Applied economics
55
(
2023
)
37
,
pp. 4289-4303
Persistent link: https://www.econbiz.de/10014301231
Saved in:
9
Analysis of early warning of RMB exchange rate fluctuation and value at risk measurement based on deep learning
Lu, Chunyi
;
Teng, Zhuoqi
;
Gao, Yu
;
Wu, Renhong
; …
- In:
Computational economics
59
(
2022
)
4
,
pp. 1501-1524
Persistent link: https://www.econbiz.de/10013261898
Saved in:
10
Copula-based Black-Litterman portfolio optimization
Sahamkhadam, Maziar
;
Stephan, Andreas
;
Östermark, Ralf
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1055-1070
Persistent link: https://www.econbiz.de/10013262000
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