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~isPartOf:"Applied economics"
~subject:"ARCH model"
~subject:"Theorie"
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Search: subject_exact:"CVaR (Conditional value at risk)"
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ARCH model
Theorie
Risikomaß
53
Risk measure
53
Theory
23
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20
Portfolio selection
20
Portfolio-Management
20
Estimation
18
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18
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Blazsek, Szabolcs
3
Monteros, Luis Antonio
2
Wang, Yi-Hsien
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Abuzayed, Bana
1
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1
Allen, David E.
1
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Applied economics
Insurance / Mathematics & economics
176
Journal of banking & finance
94
European journal of operational research : EJOR
90
Risks : open access journal
72
Journal of risk
59
Finance research letters
56
Economic modelling
50
Journal of empirical finance
45
International journal of forecasting
43
Energy economics
41
Quantitative finance
41
International review of financial analysis
36
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36
Discussion paper / Tinbergen Institute
35
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35
The North American journal of economics and finance : a journal of financial economics studies
33
International journal of theoretical and applied finance
27
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27
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SFB 649 discussion paper
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Mathematical finance : an international journal of mathematics, statistics and financial theory
22
Operations research letters
22
Journal of economic dynamics & control
21
Mathematics and financial economics
21
The journal of credit risk : published quarterly by Incisive Media
21
Journal of financial econometrics
20
Operations research
20
Astin bulletin : the journal of the International Actuarial Association
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Mathematics of operations research
19
The journal of operational risk
19
Applied economics letters
18
International review of economics & finance : IREF
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ECONIS (ZBW)
32
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1
Research on extreme risk measurement in the international carbon emission futures market, based on a two-component Beta-Skew-t-EGARCH-POT model
Geng, Wenjing
;
Zhao, Xin
;
Zhou, Xiaoxiao
- In:
Applied economics
55
(
2023
)
36
,
pp. 4194-4203
Persistent link: https://www.econbiz.de/10014299610
Saved in:
2
Measuring systemic risk with a dynamic copula-based approach
Jang, Hyun Jin
;
Pan, Xiao
;
Park, Sumin
- In:
Applied economics
53
(
2021
)
50
,
pp. 5843-5863
Persistent link: https://www.econbiz.de/10012627102
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3
Correlation between Shanghai crude oil futures, stock, foreign exchange, and gold markets : a GARCH-vine-copula method
He, Chaohua
;
Li, Guangchen
;
Fan, Hai
;
Wei, Weixian
- In:
Applied economics
53
(
2021
)
11
,
pp. 1249-1263
Persistent link: https://www.econbiz.de/10012485170
Saved in:
4
Flexible modelling of multivariate risks in pricing margin protection insurance : modelling portfolio risks with mixtures of mixtures
Moosavian, Seyyed Ali Zeytoon Nejad
;
Goodwin, Barry K.
- In:
Applied economics
53
(
2021
)
4
,
pp. 411-440
Persistent link: https://www.econbiz.de/10012416054
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
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6
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
Saved in:
7
The risks of cryptocurrencies with long memory in volatility, non-normality and behavioural insights
Siu, Tak Kuen
- In:
Applied economics
53
(
2021
)
17
,
pp. 1991-2014
Persistent link: https://www.econbiz.de/10012500918
Saved in:
8
Measuring quantile risk hedging effectiveness : a GO-GARCH-EVT-copula approach
Karnakar, Madhusudan
;
Sharma, Udayan
- In:
Applied economics
52
(
2020
)
48
,
pp. 5244-5262
Persistent link: https://www.econbiz.de/10012307213
Saved in:
9
Value-at-risk and expected shortfall in cryptocurrencies' portfolio : a vine copula–based approach
Trucíos, Carlos
;
Tiwari, Aviral Kumar
;
Alqahtani, Faisal
- In:
Applied economics
52
(
2020
)
24
,
pp. 2580-2593
Persistent link: https://www.econbiz.de/10012210957
Saved in:
10
The impact of liquidity on portfolio value-at-risk forecasts
Hung, Jui-Cheng
;
Su, Jung-bin
;
Chang, Matthew C.
;
Wang, …
- In:
Applied economics
52
(
2020
)
3
,
pp. 242-259
Persistent link: https://www.econbiz.de/10012197387
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