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~isPartOf:"Applied economics"
~isPartOf:"Econometric reviews"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Journal of financial econometrics"
~isPartOf:"Série des documents de travail / Centre de Recherche en Économie et Statistique"
~subject:"Estimation theory"
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Search: subject:"Value at Risk"
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Estimation theory
Risikomaß
133
Risk measure
133
Theorie
57
Theory
57
Portfolio selection
44
Portfolio-Management
44
ARCH model
41
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value-at-risk
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expected shortfall
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Francq, Christian
3
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2
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1
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1
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1
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1
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Applied economics
Econometric reviews
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial econometrics
Série des documents de travail / Centre de Recherche en Économie et Statistique
Insurance / Mathematics & economics
24
Journal of risk
21
Journal of econometrics
13
The journal of risk model validation
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Finance research letters
9
Journal of banking & finance
8
Discussion paper / Tinbergen Institute
7
Computational economics
6
Dresdner Beiträge zu quantitativen Verfahren
6
European journal of operational research : EJOR
6
Risks : open access journal
6
SFB 649 discussion paper
6
International journal of forecasting
5
International journal of theoretical and applied finance
5
Journal of forecasting
5
Quantitative finance
5
The North American journal of economics and finance : a journal of financial economics studies
5
The journal of operational risk
5
Working papers series in theoretical and applied economics
5
Finance and economics discussion series
4
International journal of monetary economics and finance
4
Journal of mathematical finance
4
Journal of risk and financial management : JRFM
4
Working papers / TSE : WP
4
Econometrics : open access journal
3
Journal of empirical finance
3
Operations research
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Scandinavian actuarial journal
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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The econometrics journal
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Working papers
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ECONIS (ZBW)
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1
Estimation and inference of quantile impulse response functions by local projections : with applications to VaR dynamics
Han, Heejoon
;
Jung, Whayoung
;
Lee, Ji Hyung
- In:
Journal of financial econometrics
22
(
2024
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10014526299
Saved in:
2
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:
3
Risk estimation with a time-varying probability of zero returns
Sucarrat, Genaro
;
Grønneberg, Steffen
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 278-309
Persistent link: https://www.econbiz.de/10013187979
Saved in:
4
Single-index expectile models for estimating conditional
value
at
risk
and expected shortfall
Jiang, Rong
;
Hu, Xueping
;
Yu, Keming
- In:
Journal of financial econometrics
20
(
2022
)
2
,
pp. 345-366
Persistent link: https://www.econbiz.de/10013187986
Saved in:
5
Unconditional density vs conditional density functions in estimating
value-at-risk
Chiu, Yen-Chen
;
Chuang, I-Yuan
- In:
Applied economics
53
(
2021
)
4
,
pp. 482-494
Persistent link: https://www.econbiz.de/10012416070
Saved in:
6
Local-linear estimation of time-varying-parameter garch models and associated risk measures
Inoue, Atsushi
;
Lu, Jin
;
Pelletier, Denis
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 202-234
Persistent link: https://www.econbiz.de/10012504329
Saved in:
7
The threshold GARCH model : estimation and density forecasting for financial returns
Cai, Yuzhi
;
Stander, Julian
- In:
Journal of financial econometrics
18
(
2020
)
2
,
pp. 395-424
Persistent link: https://www.econbiz.de/10012232969
Saved in:
8
Where does the tail begin? : an approach based on scoring rules
Hoga, Yannick
- In:
Econometric reviews
39
(
2020
)
6
,
pp. 579-601
Persistent link: https://www.econbiz.de/10012195423
Saved in:
9
Extreme conditional tail moment estimation under serial dependence
Hoga, Yannick
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 587-615
Persistent link: https://www.econbiz.de/10012152234
Saved in:
10
FARVaR : functional autoregressive
value-at-risk
Cai, Charlie X.
;
Kim, Minjoo
;
Shin, Yongcheol
;
Zhang, Qi
- In:
Journal of financial econometrics
17
(
2019
)
2
,
pp. 284-337
Persistent link: https://www.econbiz.de/10012054445
Saved in:
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