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~isPartOf:"Applied economics"
~isPartOf:"International journal of forecasting"
~language:"eng"
~subject:"Estimation theory"
~subject:"Kapitaleinkommen"
~subject:"Messung"
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Estimation theory
Kapitaleinkommen
Messung
Risikomaß
112
Risk measure
112
Forecasting model
58
Prognoseverfahren
58
Theorie
56
Theory
56
ARCH model
42
ARCH-Modell
42
Statistical distribution
40
Statistische Verteilung
40
Estimation
34
Portfolio selection
34
Portfolio-Management
34
Schätzung
34
Volatility
32
Volatilität
32
Risk management
27
Risikomanagement
26
Risk
24
Risiko
22
Capital income
21
Outliers
19
Ausreißer
18
Multivariate Verteilung
16
Multivariate distribution
16
Time series analysis
13
Zeitreihenanalyse
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VAR model
12
VAR-Modell
12
Börsenkurs
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Share price
11
Expected shortfall
10
Value at risk
10
Financial crisis
9
Finanzkrise
9
Aktienmarkt
8
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Value-at-Risk
8
extreme value theory
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33
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33
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English
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Barbi, Massimiliano
2
Long, Huaigang
2
Lucas, André
2
Romagnoli, Silvia
2
Wirjanto, Tony S.
2
Allen, David E.
1
Alles, Lakshman
1
Alqahtani, Faisal
1
Baronyan, Sayad
1
Bianchi, Michele Leonardo
1
Borges, Maria Rosa
1
Cardós, Manuel
1
Chiu, Yen-Chen
1
Chu, Guoqing
1
Chuang, I-Yuan
1
Clements, Adam
1
Daly, Michael
1
De Luca, Giovanni
1
Ding, Jin
1
Dionne, Georges
1
Díaz Hernández, Adán
1
Ergen, Ibrahim
1
Fei, Fei
1
Fortin, Alain-Philippe
1
Fu, Jin-Yu
1
Fuentes, Fernanda
1
Fuertes, Ana María
1
Geman, Hélyette
1
Greenwood, David
1
Gubareva, Mariya
1
Hammoudeh, Shawkat
1
Hao, Hong-Xia
1
Hernandez, Jose Arreola
1
Herrera, Rodrigo
1
Janabi, Mazin A. M. al
1
Jang, Hyun Jin
1
Jiang, Yuexiang
1
Kalotychou, Elena
1
Kang, Kyu Ho
1
Kim, Dongwhan
1
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Applied economics
International journal of forecasting
Insurance / Mathematics & economics
125
Journal of risk
50
Journal of banking & finance
43
Finance research letters
39
Risks : open access journal
39
European journal of operational research : EJOR
36
International review of financial analysis
27
The North American journal of economics and finance : a journal of financial economics studies
27
Quantitative finance
26
The journal of risk model validation
24
Journal of econometrics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
20
Mathematics of operations research
19
Finance and stochastics
18
International journal of theoretical and applied finance
18
Mathematics and financial economics
18
Journal of empirical finance
17
Journal of forecasting
17
Journal of risk and financial management : JRFM
17
Discussion paper / Tinbergen Institute
16
Journal of financial econometrics
16
Computational economics
15
Research in international business and finance
15
Energy economics
14
International review of economics & finance : IREF
14
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
14
Research paper series / Swiss Finance Institute
14
Scandinavian actuarial journal
14
Journal of mathematical finance
12
The journal of operational risk
12
Mathematical finance : an international journal of mathematics, statistics and financial economics
11
Operations research
11
Operations research letters
11
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
11
Economic modelling
10
Journal of international financial markets, institutions & money
10
Mathematical finance : an international journal of mathematics, statistics and financial theory
10
The European journal of finance
10
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ECONIS (ZBW)
33
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date (oldest first)
1
2T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns : Out-of-sample comparison of conditional EVT models
Tomlinson, Matthew F.
;
Greenwood, David
; …
- In:
International journal of forecasting
40
(
2024
)
1
,
pp. 324-347
Persistent link: https://www.econbiz.de/10014450274
Saved in:
2
Non-Gaussian models for CoVaR estimation
Bianchi, Michele Leonardo
;
De Luca, Giovanni
; …
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 391-404
Persistent link: https://www.econbiz.de/10014462788
Saved in:
3
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
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
International commodity-market tail risk and stock volatility
Zhong, Juandan
;
Long, Huaigang
;
Ma, Feng
;
Wang, Jiqian
- In:
Applied economics
55
(
2023
)
49
,
pp. 5790-5799
Persistent link: https://www.econbiz.de/10014335790
Saved in:
6
Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe
;
Simonato, Jean-Guy
;
Dionne, Georges
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
Saved in:
7
Volatility analysis for the GARCH-Itô-Jumps model based on high-frequency and low-frequency financial data
Fu, Jin-Yu
;
Lin, Jin-Guan
;
Hao, Hong-Xia
- In:
International journal of forecasting
39
(
2023
)
4
,
pp. 1698-1712
Persistent link: https://www.econbiz.de/10014465345
Saved in:
8
Observation-driven models for realized variances and overnight returns applied to
value-at-risk
and expected shortfall forecasting
Opschoor, Anne
;
Lucas, André
- In:
International journal of forecasting
37
(
2021
)
2
,
pp. 622-633
Persistent link: https://www.econbiz.de/10012792858
Saved in:
9
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:
10
Modelling asset returns in the presence of price limits with Markov-switching mixture of truncated normal GARCH distribution : evidence from China
Wang, Donghua
;
Ding, Jin
;
Chu, Guoqing
;
Xu, Dinghai
; …
- In:
Applied economics
53
(
2021
)
7
,
pp. 781-804
Persistent link: https://www.econbiz.de/10012416088
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