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~isPartOf:"Applied economics"
~subject:"Estimation theory"
~subject:"Messung"
~subject:"Risiko"
~subject:"Statistical distribution"
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Search: subject:"Value at Risk"
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Estimation theory
Messung
Risiko
Statistical distribution
Risikomaß
53
Risk measure
53
Theorie
23
Theory
23
ARCH model
20
ARCH-Modell
20
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20
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20
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18
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15
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extreme value theory
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Blazsek, Szabolcs
3
Barbi, Massimiliano
2
Long, Huaigang
2
Monteros, Luis Antonio
2
Romagnoli, Silvia
2
Allen, David E.
1
Alles, Lakshman
1
Alqahtani, Faisal
1
Borges, Maria Rosa
1
Božović, Miloš
1
Chiu, Yen-Chen
1
Chu, Guoqing
1
Chuang, I-Yuan
1
Cover, James Peery
1
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1
Díaz Hernández, Adán
1
Ergen, Ibrahim
1
Feng, Wenjun
1
Fretheim, Torun
1
Geman, Hélyette
1
Goodwin, Barry K.
1
Gubareva, Mariya
1
Ho, Han-Chiang
1
Jang, Hyun Jin
1
Jiang, Yuexiang
1
Kristiansen, Glenn
1
Lee, Eun-joo
1
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1
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1
Liu, Su-Ping
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1
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1
Murray, Louis
1
Nolasco Jáuregui, Oralia
1
Pan, Xiao
1
Park, Sumin
1
Powell, Robert
1
Quezada-Téllez, Luis Alberto
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Applied economics
Insurance / Mathematics & economics
176
Risks : open access journal
74
Journal of banking & finance
72
European journal of operational research : EJOR
68
Finance research letters
63
Journal of risk
62
Quantitative finance
40
Economic modelling
38
International review of financial analysis
34
The journal of risk model validation
34
Discussion paper / Tinbergen Institute
33
International journal of forecasting
33
The journal of operational risk
28
International review of economics & finance : IREF
26
Journal of econometrics
26
Computational economics
25
Journal of empirical finance
25
Energy economics
24
International journal of theoretical and applied finance
24
The North American journal of economics and finance : a journal of financial economics studies
24
Journal of risk and financial management : JRFM
23
Mathematics of operations research
23
Scandinavian actuarial journal
23
Finance and stochastics
21
Journal of forecasting
21
Operations research
21
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
20
Journal of financial econometrics
20
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Mathematics and financial economics
19
Research paper series / Swiss Finance Institute
19
The European journal of finance
19
Journal of mathematical finance
18
Pacific-Basin finance journal
18
Astin bulletin : the journal of the International Actuarial Association
17
Journal of risk management in financial institutions
17
Operations research letters
17
Applied economics letters
16
Management science : journal of the Institute for Operations Research and the Management Sciences
16
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ECONIS (ZBW)
27
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1
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:
2
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:
3
A panel threshold VAR with stochastic volatility-in-mean model : an application to the effects of financial and uncertainty shocks in emerging economies
Soave, Gian Paulo
- In:
Applied economics
55
(
2023
)
4
,
pp. 397-431
Persistent link: https://www.econbiz.de/10013494431
Saved in:
4
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:
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
Saved in:
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
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
Saved in:
8
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:
9
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:
10
Diamonds and precious metals for reduction of portfolio tail risk
Barbi, Massimiliano
;
Geman, Hélyette
;
Romagnoli, Silvia
- In:
Applied economics
52
(
2020
)
26
,
pp. 2841-2861
Persistent link: https://www.econbiz.de/10012221456
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