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~isPartOf:"Finance and economics discussion series"
~subject:"Estimation theory"
~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Estimation theory
Statistical distribution
Theory
Risikomaß
67
Risk measure
67
Theorie
33
Portfolio selection
28
Portfolio-Management
28
ARCH model
21
ARCH-Modell
21
Estimation
21
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21
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18
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16
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16
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16
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16
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16
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12
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12
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12
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11
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extreme value theory
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7
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Blazsek, Szabolcs
3
Oh, Dong Hwan
3
Barbi, Massimiliano
2
Gibson, Michael S.
2
Gordy, Michael B.
2
Monteros, Luis Antonio
2
Patton, Andrew J.
2
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2
Romagnoli, Silvia
2
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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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1
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1
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1
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1
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1
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1
Charfeddine, Lanouar
1
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1
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1
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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
Finance and economics discussion series
Insurance / Mathematics & economics
201
Journal of banking & finance
101
European journal of operational research : EJOR
93
Risks : open access journal
78
Journal of risk
68
Finance research letters
50
International journal of forecasting
47
Quantitative finance
45
Discussion paper / Tinbergen Institute
44
Economic modelling
44
Journal of empirical finance
43
The journal of risk model validation
39
Journal of econometrics
35
International journal of theoretical and applied finance
33
International review of financial analysis
33
The journal of operational risk
32
Computational economics
30
Journal of risk and financial management : JRFM
30
Journal of forecasting
28
SFB 649 discussion paper
28
Scandinavian actuarial journal
28
Finance and stochastics
26
Research paper series / Swiss Finance Institute
26
The European journal of finance
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
25
Energy economics
24
Journal of economic dynamics & control
24
Journal of financial econometrics
24
The North American journal of economics and finance : a journal of financial economics studies
24
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
23
Working papers
23
Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Operations research letters
22
Astin bulletin : the journal of the International Actuarial Association
21
Journal of risk management in financial institutions
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Mathematics and financial economics
21
Operations research
21
The journal of credit risk : published quarterly by Incisive Media
21
Mathematics of operations research
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ECONIS (ZBW)
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21
The effects of wind generation capacity on electricity prices and generation costs : a Monte Carlo analysis
Lynch, Muireann Á.
;
Curtis, John A.
- In:
Applied economics
48
(
2016
)
1/3
,
pp. 133-151
Persistent link: https://www.econbiz.de/10011412612
Saved in:
22
Estimating multi-period
value
at
risk
of oil futures prices
Zhou, Chunyang
;
Qin, Xiao
;
Diao, Xundi
;
He, Yingchen
- In:
Applied economics
48
(
2016
)
31/33
,
pp. 2994-3004
Persistent link: https://www.econbiz.de/10011615344
Saved in:
23
Risk assessment of oil price from static and dynamic modelling approaches
Mi, Zhi-Fu
;
Wei, Yi-Ming
;
Tang, Bao-Jun
;
Cong, Rong-Gang
; …
- In:
Applied economics
49
(
2017
)
9
,
pp. 929-939
Persistent link: https://www.econbiz.de/10011811076
Saved in:
24
Tail dependence analysis of stock markets using extreme value theory
Singh, Abhay Kumar
;
Allen, David E.
;
Powell, Robert
- In:
Applied economics
49
(
2017
)
45
,
pp. 4588-4599
Persistent link: https://www.econbiz.de/10011844236
Saved in:
25
Dynamic factor
value-at-risk
for large, heteroskedastic portfolios
Aramonte, Sirio
;
Giudice Rodriguez, Marius del
;
Wu, Jason J.
-
2011
Persistent link: https://www.econbiz.de/10009405707
Saved in:
26
What should the value of lambda be in the exponentially weighted moving average volatility model?
Bollen, Bernard
- In:
Applied economics
47
(
2015
)
7/9
,
pp. 853-860
Persistent link: https://www.econbiz.de/10010512092
Saved in:
27
Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the
value-at-risk
approach
Chuang, Chung-Chu
;
Wang, Yi-Hsien
;
Yeh, Tsai-Jung
; …
- In:
Applied economics
47
(
2015
)
19/21
,
pp. 2040-2052
Persistent link: https://www.econbiz.de/10010513350
Saved in:
28
Value
at
risk
estimation by threshold stochastic volatility model
Huang, Alex
- In:
Applied economics
47
(
2015
)
43/45
,
pp. 4884-4900
Persistent link: https://www.econbiz.de/10011380922
Saved in:
29
Optimal hedge ratio under a subjective re-weighting of the original measure
Barbi, Massimiliano
;
Romagnoli, Silvia
- In:
Applied economics
48
(
2016
)
13/15
,
pp. 1271-1280
Persistent link: https://www.econbiz.de/10011433130
Saved in:
30
Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors
Dobrev, Dobrislav
;
Nesmith, Travis D.
;
Oh, Dong Hwan
-
2016
Persistent link: https://www.econbiz.de/10011578299
Saved in:
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