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~isPartOf:"Applied economics"
~isPartOf:"Insurance: Mathematics and Economics"
~isPartOf:"Journal of econometrics"
~subject:"Risikomanagement"
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Search: subject:"Value at Risk"
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Risikomanagement
Risikomaß
95
Risk measure
95
Theorie
45
Theory
45
Portfolio selection
34
Portfolio-Management
34
Estimation
33
Schätzung
33
ARCH model
31
ARCH-Modell
31
Statistical distribution
30
Statistische Verteilung
30
Risk management
27
Risk
23
Volatility
23
Volatilität
23
Risiko
22
Capital income
19
Kapitaleinkommen
19
Ausreißer
17
Outliers
17
Value-at-Risk
16
Estimation theory
15
Forecasting model
15
Prognoseverfahren
15
Schätztheorie
15
Value at risk
15
Multivariate Verteilung
12
Multivariate distribution
12
Time series analysis
12
Zeitreihenanalyse
12
Börsenkurs
10
Financial crisis
10
Finanzkrise
10
Share price
10
Stochastic process
10
Stochastischer Prozess
10
Hedging
9
VAR model
9
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1
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26
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26
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26
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1
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1
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English
27
Author
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Zhang, Zhengjun
3
Hammoudeh, Shawkat
2
Hernandez, Jose Arreola
2
Hong, Yongmiao
2
Al-Yahyaee, Khamis Hamed
1
Allen, David E.
1
Bandi, Federico M.
1
Barbi, Massimiliano
1
Blazsek, Szabolcs
1
Božović, Miloš
1
Cao, Hong
1
Catania, Leopoldo
1
Chan, Thomas W. C.
1
Chang, Chia-Lin
1
Chen, Rong
1
Chen, Rui
1
Chen, Yu
1
Chu, Amanda M. Y.
1
Cong, Rong-Gang
1
Daouia, Abdelaati
1
Diebold, Francis X.
1
Egorov, Alexej V.
1
Feng, Wenjun
1
Fretheim, Torun
1
Gendreau, Brian C.
1
Girard, Stéphane
1
Guan, Dabo
1
Ho, Han-Chiang
1
Härdle, Wolfgang
1
Janabi, Mazin A. M. al
1
Jiménez-Martín, Juan-Ángel
1
Jin, Yong
1
Kristiansen, Glenn
1
Lee, Eun-joo
1
Lee, Seung-Hwan
1
Li, Haitao
1
Liu, Su-Ping
1
Liu, Yanhui
1
Long, Xingchen
1
Long, Yunshen
1
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Applied economics
Insurance: Mathematics and Economics
Journal of econometrics
Insurance / Mathematics & economics
94
Risks : open access journal
54
Journal of banking & finance
52
European journal of operational research : EJOR
40
Journal of risk
40
Finance research letters
30
Economic modelling
27
Energy economics
27
The journal of operational risk
27
The journal of risk model validation
23
The North American journal of economics and finance : a journal of financial economics studies
22
International review of financial analysis
20
Journal of risk management in financial institutions
20
Quantitative finance
20
International review of economics & finance : IREF
16
International journal of theoretical and applied finance
15
Journal of risk and financial management : JRFM
13
Research paper series / Swiss Finance Institute
13
SpringerLink / Bücher
13
The European journal of finance
13
Discussion paper / Tinbergen Institute
12
Finance and stochastics
12
International journal of forecasting
12
Journal of empirical finance
12
Working papers
11
Computational economics
10
International journal of risk assessment and management : IJRAM
10
Journal of international financial markets, institutions & money
10
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
10
Astin bulletin : the journal of the International Actuarial Association
9
International journal of finance & economics : IJFE
9
Journal of mathematical finance
9
Pacific-Basin finance journal
9
Research in international business and finance
9
Scandinavian actuarial journal
9
Schriftenreihe Finanzmanagement
9
The journal of credit risk : published quarterly by Incisive Media
9
Applied economics letters
8
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ECONIS (ZBW)
27
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1
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27
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date (oldest first)
1
Semiparametric modeling of multiple quantiles
Catania, Leopoldo
;
Luati, Alessandra
- In:
Journal of econometrics
237
(
2023
)
2,2
,
pp. 1-16
Persistent link: https://www.econbiz.de/10014471520
Saved in:
2
A gradient boosting approach to estimating tail risk interconnectedness
Long, Yunshen
;
Zeng, LinQing
;
Wang, Jing
;
Long, Xingchen
; …
- In:
Applied economics
54
(
2022
)
8
,
pp. 862-879
Persistent link: https://www.econbiz.de/10012874756
Saved in:
3
ß in the tails
Bandi, Federico M.
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
Saved in:
4
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
5
ExpectHill estimation, extreme risk and heavy tails
Daouia, Abdelaati
;
Girard, Stéphane
;
Stupfler, Gilles
- In:
Journal of econometrics
221
(
2021
)
1
,
pp. 97-117
Persistent link: https://www.econbiz.de/10012618802
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
conditional
value-at-risk
-linear absolute shrink-age selection operator
Gendreau, Brian C.
;
Jin, Yong
;
Nimalendran, Mahendrarajah
; …
- In:
Applied economics
51
(
2019
)
52
,
pp. 5637-5651
Persistent link: https://www.econbiz.de/10012197263
Saved in:
8
Dynamic semiparametric models for expected shortfall (and
Value-at-Risk
)
Patton, Andrew J.
;
Ziegel, Johanna F.
;
Chen, Rui
- In:
Journal of econometrics
211
(
2019
)
2
,
pp. 388-413
Persistent link: https://www.econbiz.de/10012303806
Saved in:
9
Mark to market
value
at
risk
Chen, Yu
;
Wang, Zhicheng
;
Zhang, Zhengjun
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 299-321
Persistent link: https://www.econbiz.de/10012145015
Saved in:
10
Score-driven Markov-switching EGARCH models : an application to systematic risk analysis
Blazsek, Szabolcs
;
Ho, Han-Chiang
;
Liu, Su-Ping
- In:
Applied economics
50
(
2018
)
56
,
pp. 6047-6060
Persistent link: https://www.econbiz.de/10012063386
Saved in:
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