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~isPartOf:"Applied economics"
~isPartOf:"European journal of operational research : EJOR"
~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
238
Risk measure
238
Theorie
141
Theory
141
Portfolio selection
103
Portfolio-Management
103
Risiko
80
Risk
80
Risikomanagement
66
Risk management
66
Measurement
46
Messung
46
Statistical distribution
46
Statistische Verteilung
46
Forecasting model
44
Prognoseverfahren
44
ARCH model
42
ARCH-Modell
42
Estimation
40
Schätzung
40
Stochastic process
34
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34
Mathematical programming
32
Mathematische Optimierung
32
Capital income
30
Kapitaleinkommen
30
Volatility
30
Volatilität
30
Schätztheorie
29
Multivariate Verteilung
21
Multivariate distribution
21
Ausreißer
20
Outliers
20
Risikoaversion
15
Risk aversion
15
value-at-risk
15
Nichtparametrisches Verfahren
14
Nonparametric statistics
14
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English
29
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Francq, Christian
3
Gouriéroux, Christian
3
Zakoïan, Jean-Michel
3
Horváth, Lajos
2
Pelletier, Denis
2
Taylor, James W.
2
Yu, Keming
2
Bormann, Carsten
1
Cai, Charlie X.
1
Cai, Yuzhi
1
Calvet, Laurent E.
1
Chen, Pengzhan
1
Chiou, Wan-jiun Paul
1
Chiu, Yen-Chen
1
Christoffersen, Peter F.
1
Chuang, I-Yuan
1
Czellar, Veronika
1
Dupuis, Debbie J.
1
Díaz Hernández, Adán
1
Grønneberg, Steffen
1
Han, Heejoon
1
Hill, Jonathan B.
1
Hoga, Yannick
1
Hu, Xueping
1
Inoue, Atsushi
1
Jasiak, Joann
1
Jiang, Rong
1
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1
Kim, Minjoo
1
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1
Lee, Yong Woong
1
Liu, Wei
1
Liu, Xiaoyu
1
Lu, Jin
1
Mafusalov, Alexander
1
Meng, Xiaochun
1
Mitra, Gautam
1
Mu, Da-Ren
1
Nolasco Jáuregui, Oralia
1
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1
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Applied economics
European journal of operational research : EJOR
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
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
3
Scandinavian actuarial journal
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
The econometrics journal
3
Working papers
3
CAEPR working papers
2
Econometric reviews
2
Economic research
2
Economics letters
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ECONIS (ZBW)
29
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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
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:
3
A simulation-based method for estimating systemic risk measures
Ye, Wuyi
;
Zhou, Yi
;
Chen, Pengzhan
;
Wu, Bin
- In:
European journal of operational research : EJOR
313
(
2024
)
1
,
pp. 312-324
Persistent link: https://www.econbiz.de/10014456563
Saved in:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Estimating
Value-at-Risk
and Expected Shortfall using the intraday low and range data
Meng, Xiaochun
;
Taylor, James W.
- In:
European journal of operational research : EJOR
280
(
2020
)
1
,
pp. 191-202
Persistent link: https://www.econbiz.de/10012132379
Saved in:
10
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:
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